Constrained Optimization: Learn It 2

Problems with Two Constraints

The method of Lagrange multipliers can be applied to problems with more than one constraint. In this case the optimization function, [latex]w[/latex] is a function of three variables:

[latex]\large{w=f(x, y, z)}[/latex]

and it is subject to two constraints:

[latex]g(x, y, z)=0[/latex] and [latex]h(x, y, z)=0[/latex]

There are two Lagrange multipliers, [latex]\lambda_1[/latex] and [latex]\lambda_2[/latex], and the system of equations becomes:

[latex]\hspace{7cm}\large{\begin{align} \nabla{f}(x_0,y_0,z_0)&=\lambda_1\nabla{g}(x_0,y_0,z_0)+\lambda_2\nabla{h}(x_0,y_0,z_0) \\ g(x_0,y_0,z_0)&=0 \\ h(x_0,y_0,z_0)&=0. \end{align}}[/latex]

Find the maximum and minimum values of the function

[latex]\large{f(x, y, z)=x^{2}+y^{2}+z^{2}}[/latex]

subject to the constraints [latex]z^{2}=x^{2}+y^{2}[/latex] and [latex]x+y-z+1=0[/latex].