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    Lagrange Multiplier - Using - Fmincon

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    Aleyna Bozkurt
    The Lagrange multiplier is an optimization technique used to find the maximum or minimum of a function subject to an equality constraint. An example in MATLAB shows maximizing the function f(x,y)=x^2+y^2 subject to the constraint g(x,y)=x+y-1=0 using fmincon with a Lagrange multiplier. The optimal solution found is x=0.5 and y=0.5, with an optimal function value of 0.5, satisfying the constraint. Lagrange multipliers allow solving constrained optimization problems by finding critical points of the Lagrangian function.

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    Lagrange Multiplier - Using - Fmincon

    Uploaded by

    Aleyna Bozkurt
    16 views3 pages
    The Lagrange multiplier is an optimization technique used to find the maximum or minimum of a function subject to an equality constraint. An example in MATLAB shows maximizing the function f(x,y)=x^2+y^2 subject to the constraint g(x,y)=x+y-1=0 using fmincon with a Lagrange multiplier. The optimal solution found is x=0.5 and y=0.5, with an optimal function value of 0.5, satisfying the constraint. Lagrange multipliers allow solving constrained optimization problems by finding critical points of the Lagrangian function.

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    Lagrange multiplier_using_fmincon

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    The Lagrange multiplier is an optimization technique used to find the maximum or minimum of a function subject to an equality constraint. An example in MATLAB shows maximizing the function f(x,y)=x^2+y^2 subject to the constraint g(x,y)=x+y-1=0 using fmincon with a Lagrange multiplier. The optimal solution found is x=0.5 and y=0.5, with an optimal function value of 0.5, satisfying the constraint. Lagrange multipliers allow solving constrained optimization problems by finding critical points of the Lagrangian function.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    16 views3 pages

    Lagrange Multiplier - Using - Fmincon

    Uploaded by

    Aleyna Bozkurt
    The Lagrange multiplier is an optimization technique used to find the maximum or minimum of a function subject to an equality constraint. An example in MATLAB shows maximizing the function f(x,y)=x^2+y^2 subject to the constraint g(x,y)=x+y-1=0 using fmincon with a Lagrange multiplier. The optimal solution found is x=0.5 and y=0.5, with an optimal function value of 0.5, satisfying the constraint. Lagrange multipliers allow solving constrained optimization problems by finding critical points of the Lagrangian function.

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    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 3

    The Lagrange multiplier is a technique used in optimization problems

    where you want to optimize a function subject to equality constraints. Here's a


    simple example in MATLAB using the fmincon function:

    b and beq are vectors, A and Aeq are matrices, c(x) and ceq(x) are functions that return vectors, and f(x)
    is a function that returns a scalar. f(x), c(x), and ceq(x) can be nonlinear functions.
    x, lb, and ub can be passed as vectors or matrices; see Matrix Arguments.
    example
    x = fmincon(fun,x0,A,b) starts at x0 and attempts to find a minimizer x of the function described
    in fun subject to the linear inequalities A*x ≤ b. x0 can be a scalar, vector, or matrix.
    Suppose you want to maximize the function f(x, y) = x^2 + y^2 subject
    to the constraint g(x, y) = x + y - 1 = 0.
    Here's how you can implement it using Lagrange multipliers:
    % Objective function

    fun = @(x) x(1)^2 + x(2)^2;

    % Initial guess
    x0 = [0.5, 0.25];

    % Solve the optimization problem using fmincon with Lagrange multiplier


    options = optimoptions('fmincon', 'Display', 'iter');
    [x_opt, fval_opt] = fmincon(fun, x0, [], [], [], [], [], [], @nonlcon, options);
    % Display the results
    disp('Optimal variables:');
    disp(x_opt);
    disp('Optimal function value:');
    disp(fval_opt);
    function [C Ceq]=nonlcon(x)
    % Constraint function file
    C = [];
    Ceq = [x(1) + x(2) - 1];

    >> Lagrange_multiplier_using_fmincon

    First-order Norm of

    Iter F-count f(x) Feasibility optimality step

    0 3 3.125000e-01 2.500e-01 2.500e-01

    1 6 5.312500e-01 0.000e+00 3.750e-01 3.953e-01


    2 9 5.003858e-01 0.000e+00 8.333e-02 1.964e-01

    3 12 5.000000e-01 0.000e+00 3.725e-10 1.964e-02

    Local minimum found that satisfies the


    constraints.

    Optimization completed because the objective function is non-


    decreasing in feasible directions, to within the value of the
    optimality tolerance, and constraints are satisfied to within
    the value of the constraint tolerance.

    <stopping criteria details>


    Optimal variables:
    0.5000 0.5000
    Optimal function value:
    0.5000

    In this example, fun is the objective function, and nonlcon is the equality
    constraint. The fmincon function is then used to find the optimal solution subject
    to the given equality constraint.

    This is a basic example, and you can adapt it to more complex


    optimization problems with additional constraints as needed. The
    fmincon function allows you to handle both equality and inequality
    constraints in a similar manner.

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