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单词 ExampleOfTestsForLocalExtremaInLagrangeMultiplierMethod
释义

example of tests for local extrema in Lagrange multiplier method


Let n+ and c. We want to find the local extrema of the function

f:n,x1i<jnxixj

subject to the condition g=0, where

g:n,x1inxi-c.

The first and second orderPlanetmathPlanetmath partial derivativesMathworldPlanetmath are for all i,j{1,,n}

if(x)=kixk,ig(x)=1,
ijf(x)=1-δi,j,ijg(x)=0,

where δi,j is the Kroenecker-delta. Thus the necessary condition f(x)=λg(x) together with g(x)=0 gives the system of equations

jixj=λ,i{1,,n},
1jnxj=c.

By summing the first n equations and then substituting in the last we get

(n-1)c=nλ,
xi=1jnxj-jixj=c-λ=cn,i{1,,n}.

Thus there is only one point, where local extremum is possible. We apply the test in the parent entry to the matrix

D2(f-λg)(x)=[1-δi,j]i,j=1n=nP-I,

where P is the matrix containing 1/n in all entries, and I is the identity matrixMathworldPlanetmath. P is a rank one projection. Therefore the second derivative has spectrum σ(nP-I)={n-1,-1}, where -1 has multiplicity n-1, and n-1 has multiplicity 1. Thus the second derivative of f-λg is indefinit, so it has no local extrema. However the nullspaceMathworldPlanetmath of g(x) is precisely the nullspace of P, thus the second derivative is strictly negative on the tangent space Tx(M), so the vector (c/n,,c/n) is a local maximum of f subject to g=0.

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更新时间:2025/5/4 16:42:14