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General Method of Lagrange

Theorem

Let A⊆RnA\subseteq\mathbb{R}^n be open, and let f,gi,hjf,g_i,h_j be continuously differentiable on AA. For minimization, write the inequalities as gi(x)≤0g_i(\boldsymbol{x})\le0; for maximization, write them as gi(x)≥0g_i(\boldsymbol{x})\ge0. With equalities hj(x)=0h_j(\boldsymbol{x})=0, define the generalized Lagrangian

Λ(x,λ0,λ,μ)=λ0f(x)+∑iλigi(x)+∑jμjhj(x).\Lambda(\boldsymbol{x},\lambda_0,\boldsymbol{\lambda},\boldsymbol{\mu}) = \lambda_0 f(\boldsymbol{x})+\sum_i\lambda_i g_i(\boldsymbol{x}) +\sum_j\mu_j h_j(\boldsymbol{x}).

If x∗\boldsymbol{x}^\ast is a local constrained optimum, then there exist multipliers with λ0∈{0,1}\lambda_0\in\{0,1\}, λi≥0\lambda_i\ge0, and (λ0,λ,μ)≠0(\lambda_0,\boldsymbol{\lambda},\boldsymbol{\mu})\neq0 such that stationarity, feasibility, and complementary slackness hold.


Interpretation

This method avoids a separate regularity check by adding a multiplier on the objective itself. The extra case captures points where the active constraints are degenerate.

An arc of the equality constraint h(x) = c cut off by the vertical inequality constraint x1 at most 3.1. At x star, where both constraints are active, the gradient of f lies between the gradients of h and g.

The illustrated feasible arc satisfies h(x)=ch(\boldsymbol{x})=c and g(x)≤3.1g(\boldsymbol{x})\le3.1. Both constraints bind at x∗\boldsymbol{x}^\ast, where the objective gradient is a combination of the active constraint gradients with the appropriate multiplier signs. The theorem above specifies the normalization and regularity requirements for the multipliers.

The mixed-constraint method is recovered when the objective multiplier can be normalized to one. The nondegenerate constraint qualification rules out an abnormal candidate with zero objective multiplier: independence of the active constraint gradients would then force every multiplier to vanish.


Key Results


Examples

  • For a regular optimum, choosing λ0=1\lambda_0=1 gives the usual Lagrangian conditions.
  • If active constraint gradients are linearly dependent, a solution may appear with λ0=0\lambda_0=0 and nonzero constraint multipliers.

Prerequisites

Sources

Aliases: Fritz John conditions, Fritz John theorem Keywords: generalized Lagrange method, objective multiplier method, Lagrange method without checking NDCQ Symbols: element of, lambda, mu, real numbers, subset, sum

Last updated: 22 October 2026 19:04