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Multiple Constraint Optimization

The document discusses multiple constraint optimization methods, specifically focusing on maximizing and minimizing functions subject to constraints using the Lagrangian method. It provides detailed examples of optimization problems, including step-by-step solutions for minimizing and maximizing specific functions with given constraints. The document concludes with practice questions for further application of the concepts discussed.

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13 views

Multiple Constraint Optimization

The document discusses multiple constraint optimization methods, specifically focusing on maximizing and minimizing functions subject to constraints using the Lagrangian method. It provides detailed examples of optimization problems, including step-by-step solutions for minimizing and maximizing specific functions with given constraints. The document concludes with practice questions for further application of the concepts discussed.

Uploaded by

nasira9545
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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Multiple Constraint Optimization:

In this method, we use multiple constraints and multiple variables.


Consider the optimization problem
Max f(x₁, x₂, x₃, …, xₙ) = 0
Subject to: gᵢ(x₁, x₂, x₃, …, xₙ) = 0
Where f (x₁, x₂, x₃, …, xₙ) is deal only for máximum . If our question
demand is in minimum. Then we convert it into minimization problem
to maximization problem.
After this, we use following steps:
1.Write the Lagrangian expression.
L(x₁, x₂, …, xₙ, λᵢ) = f(x₁, x₂, …, xₙ) – Σᵢn₌₁ λᵢgᵢ(x₁, x₂, …, xₙ)
2.After this, we find partial derivatives
Of L w.r.t x₁, x₂, …, xₙ and λᵢ. Where I = 1, 2, 3, …, n.
3.After this, we put
∂L/∂x₁ = 0, ∂L/∂x₂ = 0, …, ∂L/∂xₙ = 0
∂L/∂λ₁ = 0, ∂L/∂λ₂ = 0, …, ∂L/∂λₙ = 0
And then here we finding the points of x₁, x₂ , …, xₙ and λ₁,λ₂, …, λₙ
4.Write the stationary points in the sense of x₁, x₂, …, xₙ and λ₁, λ₂,
…, λₙ
i.e. (x₁, x₂, …, xₙ, λ₁, λ₂, …, λₙ)
5.After this, we putting theStationary points in given function.
We observe that our given function is local maxima or
local minima or saddle points.

Question :
Minimize f(x, y, z) = x2 + y2+ z2 subject to x + y = 2 and y + z = 3.

Solution :
f(x, y, z) = x2 + y2+ z2
.
g1(x, y, z ) = x+y -2
g2(x, y, z) = y+z-3
Step 1: Form the Lagrangian function
L(x, y, z, λ1, λ2) = f(x, y, z) - λ1 g1 (x, y, z)– λ2 g2(x, y, z)
L(x, y, z, λ1, λ2) = x2 + y2 + z2– λ1(x + y – 2) – λ2(y + z – 3)
Step 2: Find the partial derivatives
∂L/∂x = 2x – λ1 = 0
∂L/∂y = 2y – λ1 – λ2 = 0
∂L/∂z = 2z – λ2 = 0
∂L/∂λ1 = x + y – 2 = 0
∂L/∂λ2 = y + z – 3 = 0
Step 3: Solve the system of equations
From ∂L/∂x = 0, we get λ1 = 2x.
From ∂L/∂z = 0, we get λ2 = 2z.
Substituting λ1 and λ2 into ∂L/∂y = 0, we get:
2y – 2x – 2z = 0
y– x – z = 0
Now we have three equations:
x+ y = 2 …………………..(1)
y+ z = 3……………………..(2)
y – x – z =0………………….(3)
From (1), we get. x = 2 – y.
Substituting x into (3), we get:
y – (2 – y) – z = 0
2y – 2 – z = 0
2y – z = 2…………………(4)
Now we have two equations:
y + z = 3 …………………(2)
2y – z = 2 …………………(4)
Adding (2) and (4), we get:

3y = 5 ⇒ y= 5/3
Substituting y into (2), we get:

5/3 + z = 3 ⇒ z = 4/3
Substituting y into (1), we get:

x+ 5/3 = 2 ⇒ x = 1/3
Now λ1 = 2(1/3) = 2/3. And λ2 = 2(4/3) = 8/3
Required stationary points (1/3, 5/3, 4/3, 2/3, 8/3)
Step 4: Find the minimum value
Now that we have the values of x, y, and z, we can find the minimum
value of f(x, y, z):
F(x, y, z) = x2 + y2 + z2
= (1/3)2 + (5/3)2 + (4/3)2
= 1/9 + 25/9 + 16/9
= 42/9
= 14/3
The minimum value of f (x, y, z) is 14/3.

Question 2:
Maximize f(x, y, z) = xyz2 subject to x + y + z = 6 and x + y = 4.

Solution :
f(x, y, z) = xyz2
g1 (x, y, z) = x + y+ z - 6
g2 (x, y, z) = x + y - 4
Step 1: Form the Lagrangian function
L(x, y, z, λ1, λ2) = f(x, y, z) - λ1g1 (x, y, z) – λ2 g2 (x, y, z)
L(x, y, z, λ1, λ2) = xyz2 – λ1(x + y + z – 6) – λ2(x + y – 4)
Step 2: Find the partial derivatives
∂L/∂x = yz2 – λ1 – λ2 = 0 ……………….. (1)
∂L/∂y = xz2 – λ1 – λ2 = 0 ……………….… (2)
∂L/∂z = 2xyz – λ1 = 0 …………………….. (3)
∂L/∂λ1 = x + y + z – 6 = 0 …………………. (4)
∂L/∂λ2 = x + y – 4 = 0 ….…………………..(5)
Step 3: Solve the system of equations
From (5), we get x + y = 4.
Substituting x + y = 4 into (4), we get:

4+z=6 ⇒ z=2
From (1) and (2), we get:
yz2 – λ1 – λ2 = 0
xz2 – λ1 – λ2 = 0
Subtracting the two equations, we get:
yz2 – xz2 = 0
z2(y – x) = 0
Since z = 2, we get:

y– x = 0 ⇒ y=x
Substituting y = x into x + y = 4, we get:

x + x = 4 ⇒ 2x = 4 ⇒ x = 2
and y= 2
Step 4: Find λ1 and λ2
From (3), we get:

2xyz = λ1 ⇒ λ1 = 2(2)(2)(2) = 16
From (1), we get:
yz2 = λ1 + λ2
(2)(2)2= 16 + λ2

8 = 16 + λ 2 ⇒ λ 2=−8

Required stationary points are (2, 2, 2 16, -8).


Step 5: Find the maximum value
Now that we have the values of x, y, and z, we can find the maximum
value of F(x, y, z):
F(x, y, z) = xyz2
= (2)(2)(2)2 = (2)(2)(4) = 16
The maximum value of f (x, y, z) is 16.
The values x = 2, y = 2, and z = 2 maximize the function f(x, y, z) = xyz2
subject to the given constraints.

Question 3:
Maximize f(x, y, z) = x + 2y2+ 3z subject to x + y + z = 5 and
x + y = 3.

Solution :
f(x, y, z) = x + 2y2+ 3z
g1 (x, y, z) = x+ y + z – 5
g2 (x, y, z) = x+ y- 3
Step 1: Form the Lagrangian function
L(x, y, z, λ1, λ2) = f(x, y, z) - λ1 g1 (x, y, z) – λ2 g2 (x, y, z)
L(x, y, z, λ1, λ2) = x + 2y2 + 3z – λ1(x + y + z – 5) – λ2(x + y – 3)
Step 2: Find the partial derivatives
∂L/∂x = 1 – λ1 – λ2 = 0 ………………….. (1)
∂L/∂y = 4y – λ1 – λ2 = 0 …………………. (2)
∂L/∂z = 3 – λ1 = 0 ………………………. (3)
∂L/∂λ1 = x + y + z – 5 = 0 …………….… (4)
∂L/∂λ2 = x + y – 3 = 0 …………………….. (5)
Step 3: Solve the system of equations
From (3), we get λ1 = 3.
Substituting λ2 into (1) and (2), we get:

1 – 3 – λ2 = 0 ⇒ λ2 = -2
4y – 3 – λ2 = 0
4y – 3 + 2 = 0

4y = 1 ⇒ y = ¼
From (5), we get x + y = 3.
x+ ¼ = 3
x = 11/4
From (4), we get x + y + z = 5.
11/4 + ¼ + z = 5
12/4 + z = 5
3+z=5⇒ z=2
Required stationary points are (11/4, ¼ , 2, 3, -2).
Step 4: Find the maximum value
Now that we have the values of x, y, and z, we can find the maximum
value of f(x, y, z):
F(x, y, z) = x + 2y2 + 3z
= 11/4 + 2(1/4)2 + 3(2)
= 11/4 + 2(1/16) + 6
= 11/4 + 1/8 + 6
= 22/8 + 1/8 + 48/8
= 71/8
The maximum value of f(x, y, z) is 71/8 = 8.875.

Question 4:
Maximize f(x, y, z) = 3x + y + 2z subject to x + y + z = 4 and
x + z = 3.

Solution :
f(x, y, z) = 3x + y + 2z
g1 (x, y, z) = x + y + z -4
g2 (x, y, z ) = x + z -3
Step 1: Form the Lagrangeian function
L(x, y, z, λ1, λ2) = f(x, y, z) - λ1 g1 (x, y, z) – λ2 g2 (x, y, z)
L(x, y, z, λ1, λ2) = 3x + y + 2z – λ1(x + y + z – 4) – λ2(x + z – 3)
Step 2: Find the partial derivatives
∂L/∂x = 3 – λ1 – λ2 = 0 ………….. (1)
∂L/∂y = 1 – λ1 = 0 ………………… (2)
∂L/∂z = 2 – λ1 – λ2 = 0 …………… (3)
∂L/∂λ1 = x + y + z – 4 = 0 … ………..(4)
∂L/∂λ2 = x + z – 3 = 0 ………………. (5)
Step 3: Solve the system of equations
From (2), we get. λ 1 = 1.
Substituting λ1 into (1) and (3), we get:

3 – 1 – λ2 = 0 ⇒ λ2 = 2

2 – 1 – λ2 = 0 ⇒ λ2 = 1
However, λ2 has two different values, which indicates an inconsistency.
From (5), we get z = 3 – x.
Substituting z into (4), we get:
x+y+3–x=4
y=1
Now, substituting y into (4), we get:

x+1+z=4 ⇒ x +z=3
This is consistent with (5). Let’s solve for x and z.
From (5), we get z = 3 – x.
Let’s choose x = 1
Then z = 2
Step 4: Verify the solution
x+ y + z = 1 + 1 + 2 = 4 (satisfies the constraint)
x + z = 1 + 2 = 3 (satisfies the constraint)
Step 5: Find the maximum value
Now that we have the values of x, y, and z, we can find the maximum
value of f(x, y, z):
F(x, y, z) = 3x + y + 2z
= 3(1) + 1 + 2(2)
=3+1+4 =8
The maximum value of f (x, y, z) is 8.

Practice Questions:
1.Find the maximum and minimum values of the function
fx,y,z)=x2+y2+z2
Subject to the constraints z2=x2+y2and x+y−z+1=0.

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