Multivariate Optimization with
Constraints
An Overview of Key Concepts and
Applications
Introduction
• • What is Multivariate Optimization?
• - Definition and importance.
• - Real-world examples.
• • Why Constraints?
• - Explanation of equality and inequality
constraints.
Types of Constraints
• • Equality Constraints:
• - Definition and examples.
• • Inequality Constraints:
• - Definition and examples.
• • Visual representation: Feasible region.
Geometric Characterization
• • Feasible regions and boundary conditions.
• • Tangency between objective function and
constraints.
• • Example with graphical illustration.
Lagrange Characterization
• • Using Lagrange multipliers to handle
constraints.
• • Steps for Optimization:
• 1. Write the Lagrangian function.
• 2. Solve the gradient of the Lagrangian.
• • Example: Profit maximization.
Applications of Lagrange
Characterization
• • Economics: Utility maximization.
• • Engineering: Resource allocation.
• • Statistics: Maximum likelihood estimation.
• • Example with step-by-step explanation.
Properties of the Value Function
• • Definition and importance.
• • Key Properties:
• - Monotonicity.
• - Concavity or convexity.
• • Examples with intuitive explanations.
The Envelope Theorem
• • Definition: Changes in the value function
w.r.t constraints.
• • Mathematical Representation:
• ∂V/∂p = ∂L/∂p
• • Applications: Economics, Finance.
Applications of the Envelope
Theorem
• • Economic Interpretation:
• - Sensitivity analysis.
• - Policy formulation.
• • Example: Impact of budget changes on
utility maximization.
Summary
• • Equality and inequality constraints overview.
• • Importance of Lagrange multipliers.
• • Real-world relevance of the envelope
theorem.
References
• • Textbooks and lecture notes on multivariate
optimization.
• • Academic papers and articles on Lagrange
methods.
• • Practical examples from economics and
engineering.
