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8.3.2

Lagrange Multipliers

 

The Lagrange multiplier method converts the constrained minimization into an unconstrained minimization of the following Lagrange function of m+K variables  

 

where are called Lagrange multipliers. For to be a local minimum subject to the constraints, it is necessary that be a stationary point of the Lagrange function:

If is a saddle point for which

then is a local minimum of satisfying [Gottfried 1973].

The following dynamics can be used to find such a saddle point

 

It performs energy descent on f but ascent on . Convergence results of this system have been obtained by [Arrow et al. 1958]. The dynamics is recently used for neural computing [Platt and Barr 1988].

The penalty terms in the penalty function (8.52) can be added to the Lagrange function (8.55) to give an augmented Lagrange function [Powell 1969,Hestenes 1969]  

 

where are finite weights. The addition of the penalty terms do not alter the stationary point and sometimes help damp oscillations and improve convergence. Because are finite, the ill-conditioning of the problem in the penalty method when is alleviated. After the penalty term is added, the dynamics for is