Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

Constrained Optimization via Lagrange Multipliers

  1. Jan 21, 2012 #1
    I have the analytical first and second derivatives of a (multidimensional) lagrangian ( l = f - λh). X is the vector of variables of the objective function and λ is the single lagrange multiplier.
    where f=f(X) is the nonlinear objective function, h is the nonlinear (equality) constraint (i.e. h(X) - ρ = 0 at optimized solution). I'm generally confused about how to solve this (i've read about the "Lagrange-Newton (SOLVER) method" but don't really understand it.

    How do I update X and λ? Please try to be as specific as possible. Thanks.
     
  2. jcsd
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook

Can you offer guidance or do you also need help?
Draft saved Draft deleted



Similar Discussions: Constrained Optimization via Lagrange Multipliers
  1. Lagrange Multipliers. (Replies: 0)

  2. Lagrange Multipliers (Replies: 10)

  3. Lagrange multiplier (Replies: 1)

  4. Lagrange multiplier (Replies: 6)

Loading...