Lagrange multipliers: What types of constraints work

lagrange multipliernonlinear optimizationoptimization

Suppose we to maximize $x+y$ subject to $x^2+y^2=3$. Can we use Lagrange multiplier for this?

It seems we can since the tangency condition holds in this case. I have generally only seen functions where the constraint is a plane and the objective function is quasi-convex. Here, the function is weakly convex but the constraint is less familiar to me.

So for what types of constraints does Lagrange work?

Best Answer

The Lagrange multipliers rule holds almost everywhere. Basically, whenever the constraints satisfies a constraint qualification, the Lagrange multipliers rule holds. In the general case, the conditions are also called the Karush-Kuhn-Tucker conditions. For example, whenever any of the regularity conditions displayed in the Wikipedia website holds, the KKT conditions also hold, see the regularity conditions on Wikipedia. In your case, all regularity conditions are equivalent (just one active constraint). Basically, whenever the constraint has a nonzero derivative, the KKT conditions hold. What to do when the derivative is zero? After you tested all KKT points, test whether there is a functional value smaller than other ones associated with a zero derivative of the constraint. See the discussion here. In your case, I'll tell you in advance that the derivative never vanishes at feasible points.