ENGLISH

Lagrange multipliers and optimality

By Rockafellar R.

Book information

Year
1993
Language
english
Format
PDF
Filesize
6 MB (6457814 bytes)
Pages
41\41
Library
mexmat
Time added
2009-07-20 03:45:11

Description

Lagrange multipliers used to be viewed as auxiliary variables introduced in a problem of constrained minimization in order to write first-order optimality conditions formally as a system of equations-Modern applications, with their emphasis on numerical methods and more complicated side conditions than equations, have demanded deeper understanding of the concept and how it fits into a larger theoretical picture.A major line of research has been the nonsmooth geometry of one-sided tangent and normal vectors to the set of points satisfying the given constraints. Another has been the game-theoretic role of multiplier vectors as solutions to a dual problem. Interpretations as generalized derivatives of the optimal value with respect to problem parameters have also been explored. Lagrange multipliers are now being seen as arising from a general rule for the subdirferentiation of a nonsmooth objective function which allows black-and-white constraints to be replaced by penalty expressions. This paper traces such themes in the current theory of Lagrange multipliers, providing along the way a free-standing exposition of basic nonsmooth analysis as motivated by and applied to this subject.

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