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Optimization and Lagrange Multipliers: Non-C1 Constraints and "Minimal" Constraint Qualifications

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Optimization and Lagrange Multipliers: Non-C1 Constraints and "Minimal" Constraint Qualifications

Published Date

1995-03

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Center for Economic Research, Department of Economics, University of Minnesota

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Working Paper

Abstract

When do Lagrange multipliers exist at constrained maxima? In this paper we establish: a) Existence of multipliers, replacing C1 smoothness of equality constraint functions by differentiability (for Jacobian constraint qualifications) or, for both equalities and inequalities, by the existence of partial derivatives (for path-type constraint qualifications). This unifies the treatment of equality and inequality constraints. b) A notion of "minimal" Jacobian constraint qualifications. We give new Jacobian qualifications and prove they are minimal over certain classes of constraint functions. c) A path-type constraint qualification, weaker than previous constraint qualifications, that is necessary and sufficient for existence of multipliers. (It only assumes existence of partial derivatives.) A survey of earlier results, beginning with Lagrange's own multipliers for equality constraints is contained in the last section. Among others, it notes contributions and formulations by Weierstrass; Bolza; Bliss; Caratheodory; Karush; Kuhn and Tucker; Arrow, Hurwicz, and Uzawa; Mangasarian and Fromovitz; and Gould and Tolle.

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Discussion Paper
280

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Previously Published Citation

Hurwicz, L. and Richter, M.K., (1995), "Optimization and Lagrange Multipliers: Non-C1 Constraints and "Minimal" Constraint Qualifications", Discussion Paper No. 280, Center for Economic Research, Department of Economics, University of Minnesota.

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Hurwicz, Leonid; Richter, Marcel K.. (1995). Optimization and Lagrange Multipliers: Non-C1 Constraints and "Minimal" Constraint Qualifications. Retrieved from the University Digital Conservancy, https://hdl.handle.net/11299/55735.

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