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Maximize F ( x1 , x 2 ,..., x n ) = c j x j
x1 ,x 2 ,...,x n
such that:
g Ti ( x ) = Aij x j bi
i = 1,..., mT
g Ni ( x ) = xi m 0
G *Aij x *j b *Ai = 0
i C ( x*)
1. Feasibility
x* is chosen to be feasible
2. Stationarity
If x* is a local maximum then:
[G *Aij x j + b *Ai ]
F ( x*) [c j x j ]
=
= c j = i
= i G *Aij
x j
x j
x j
i G *Aij = c j
The stationarity condition is satisfied if this set of linear equations is consistent so:
* = m*A = n .
2). Trivial interior solution: occurs only if cj =0.
* = m*A = 0
3). Non-corner boundary solution: x* lies along a boundary but not at a corner.
* = m*A < n
4). Degenerate solution: Constraints are linearly dependent (i.e. number of constraints
exceeds rank of G *Aij ).
* < m*A
3. Inequality Lagrange multiplier
If x* is a local maximum then:
i 0
i C ( x*)
In case 1) above there will be only one solution that satisfies this condition.
4. Curvature
In LLP curvature condition applies for any x* since Lagrangian Hessian is always zero.
2 [c j x j i (G *Aij x j b *Ai )]
2 L( x*, )
Wkl =
Z ik Z lj =
x j x k
x j x k
Z ik Z lj = 0
x = x*
Decision variables:
3
x1 = mass of crop 1 grown (tonnes = 10 kg)
3
such that :
2 x1 + x2 104
x1 + 2 x2 76
- x1 x2 25
- x1 0
- x2 0
-1
Increasing F(x)
g4(x)
non-neg
g2(x) land
(44,16)
(0,25)
g3(x)
production
(25,0)
F
g1(x) water
g5(x) non-neg
(52,0)
(76,0)
x1
Pairs of constraints active at the 5 corners of the feasible solution are all linearly independent
(i.e. corresponding G *Aij have rank * = m*A = n = 2 ).
So i G *Aij = c j is consistent and stationarity condition is satisfied at each of these corner
points.
There are no interior, non-corner boundary, or degenerate solutions for this example.
So we need only consider the Lagrange multipliers at the 5 corner solutions:
Candidate
Active
Lagrange Multipliers
Solution
Constraints
(25, 0)
3, 5
3 = -6
5 = -5
(52, 0)
5, 1
(44, 16)
1, 2
(0, 38)
2, 4
(0, 25)
4, 3
1 = +3
1 = +1/3
2 = +11/2
4 = -11
5 = -8
2 = +16/3
4 = -1/2
3 = +5
x* = (44, 16) is the local/global maximum since it is the only corner solution with positive
Lagrange multipliers for all active constraints.
In this problem the optimum crop allocation mixes Crop 1 and Crop 2 in a way that uses all
available land and water while giving maximum revenue.
It is possible to generate a non-corner (non-unique) boundary solution to this problem by
changing the objective function to F(x) = 6x1 + 12x2. Then * = m*A < n
( * = 1, m*A = 1, n = 2 ). The objective function contours are parallel to g1(x) and any feasible
solution along g1(x) is local/global maximum.
It is possible to generate a degenerate solution to this problem by changing the water constraint
to g1(x) = 2x1 + x2. 152. Then * < m*A ( * = 2, n = 2, m*A = 3) at the new corner (76, 0).
There is not a unique set of is satisfying stationarity condition at this corner.
So the inequality Lagrange multiplier condition cannot be checked.