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This document sets out a proof of the Envelope Theorem in the case of constrained
optimisation with equality constraints. It is an expanded version of Charles Roddie's
proof, given in lectures.
f x1 , x 2 , , x n , [1]
subject to
g j x1 , x 2 , , x n , c j j 1 m [2]
v f * x1* , x 2* , , x n* , [3]
dv
We seek to find the value of . Well, differentiating [3] gives
d
dv df * x1* , x 2* , , x n* ,
[4]
d d
dv f * f * dx *
* i [5]
d i xi d
L
0 for all i [6]
x i
f * g j
x i*
j j x * 0 for all i
[7]
i
Putting this into [5]
dv f * g j dxi*
j * [8]
d i j x i d
The order of the sums does not matter, so we can also write this as
dv f * g j dx *
j * i [9]
d j i xi d
g j x1* , x 2* , , x n* , c j j 1 m [10]
dg j g j g j dxi*
* 0 j 1 m [11]
d i xi d
dv f * g j
j [12]
d j
So
f * j g j
dv
j
[13]
d
And hence
dv L*
[14]
d