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A typical problem arising in signal processing is to minimize x A x subject to the linear constraint c x 1 . A is a positive definite, symmetric matrix (a correlation matrix) in mostproblems. Clearly, the minimum of the objective function occurs at x 0 , but his solution cannot satisfy the constraint. The constraint g x c x 1 is a scalar-valued one; hence the theorem of Lagrange applies as there are no multiple components in theconstraint forcing a check of linear independence. The Lagrangian is L x x A x c x 1 Its gradient is 2 A x c with a solution x A c 2 . To find the value of the Lagrange multiplier, this solution must satisfy the constraint. Imposing theconstraint, c A c -2 ; thus, -2 c A c and the total solution is x A c c A c

When the independent variable is complex-valued, the Lagrange multiplier technique can be used if care is taken to make the Lagrangian real. If it is not real, wecannot use the theorem that permits computation of stationary points by computing the gradient with respect to z alone. The Lagrangian may not be real-valued even when the constraint is real. Once insured real, the gradientof the Lagrangian with respect to the conjugate of the independent vector can be evaluated and the minimizationprocedure remains as before.

Consider slight variations to the previous example: let the vector z be complex so that the objective function is z A z where A is a positive definite, Hermitian matrix and let the constraint be linear, but vector-valued ( C z c ). The Lagrangian is formed from the objective function and the real part of the usual constraint term. L z z A z C z c C z c For the Lagrange multiplier theorem to hold, the gradients of each component of the constraint must be linearlyindependent. As these gradients are the columns of C , their mutual linear independence means that each constraint vector mustnot be expressible as a linear combination of the others. We shall assume this portion of the problem statement true.Evaluating the gradient with respect to z , keeping z a constant, and setting the result equal to zero yields A z C 0 The solution is z is A C . Applying the constraint, we find that C A C c . Solving for the Lagrange multiplier and substituting the result into the solution, we find that thesolution to the constrained optimization problem is z A C C A C c The indicated matrix inverses always exist: A is assumed invertible and C A C is invertible because of the linear independence of the constraints.

Inequality constraints

When some of the constraints are inequalities, the Lagrange multiplier technique can be used, but the solution must bechecked carefully in its details. But first, the optimizationproblem with equality and inequality constraints is formulated as x f x subject to g x 0 and h x 0 As before, f is the scalar-valued objective function and g is the equality constraint function; h is the inequality constraint function .

The key result which can be used to find the analytic solution to this problem is to first form the Lagrangian in the usualway as L x f x g x h x . The following theorem is the general statement of the Lagrange multiplier technique for constrained optimizationproblems.

Let x be a local minimum for the constrained optimization problem. If the gradients of g 's components and the gradients of those components of h for which h i x 0 are linearly independent, then x L x 0 where 0 and i h i x 0

The portion of this result dealing with the inequality constraint differs substantially from that concerned with theequality constraint. Either a component of the constraint equals its maximum value (zero in this case) and thecorresponding component of its Lagrange multiplier is non-negative (and is usually positive) or a component is less than the constraint and its component of the Lagrange multiplier is zero. This latter result meansthat some components of the inequality constraint are not as stringent as others and these lax ones do not affect thesolution.

The rationale behind this theorem is a technique for converting the inequality constraint into an equalityconstraint: h i x 0 is equivalent to h i x s i 2 0 . Since the new term, called a slack variable , is non-negative, the constraint must be non-positive. With the inclusion of slack variables, theequality constraint theorem can be used and the above theorem results. To prove the theorem, not only does the gradientwith respect to x need to be considered, but also with respect to the vector s of slack variables. The i th component of the gradient of the Lagrangian with respect to s at the stationary point is 2 i s i 0 . If in solving the optimization problem, s i 0 , the inequality constraint was in reality an equality constraint and that component of the constraintbehaves accordingly. As s i h i x , s i 0 implies that that component of the inequality constraint must equal zero. On the other hand, if s i 0 , the corresponding Lagrange multiplier must be zero.

Consider the problem of minimizing a quadratic form subject to a linear equality constraint and an inequality constrainton the norm of the linear constraint vector's variation. x x A x subject to c x 1 and 2 This kind of problem arises in robust estimation. One seeks a solution where one of the "knowns" of the problem, c in this case, is, in reality, only approximately specified. Theindependent variables are x and . The Lagrangian for this problem is L x x A x c x 1 2 Evaluating the gradients with respect to the independent variables yields 2 A x c 0 x 2 0 The latter equation is key. Recall that either 0 or the inequality constraint is satisfied with equality. If is zero, that implies that x must be zero which will not allow the equality constraint to be satisfied. The inescapable conclusion isthat 2 and that is parallel to x : 2 x . Using the first equation, x is found to be x 2 A 2 4 I c Imposing the constraints on this solution results in a pair of equations for the Lagrange multipliers. 1 4 2 2 c A 1 4 2 I -2 c c A 1 4 2 I c 2 2 2 Multiple solutions are possible and each must be checked. The rather complicated completion of this example is left tothe (numerically oriented) reader.

Questions & Answers

where we get a research paper on Nano chemistry....?
Maira Reply
what are the products of Nano chemistry?
Maira Reply
There are lots of products of nano chemistry... Like nano coatings.....carbon fiber.. And lots of others..
learn
Even nanotechnology is pretty much all about chemistry... Its the chemistry on quantum or atomic level
learn
Google
da
no nanotechnology is also a part of physics and maths it requires angle formulas and some pressure regarding concepts
Bhagvanji
Preparation and Applications of Nanomaterial for Drug Delivery
Hafiz Reply
revolt
da
Application of nanotechnology in medicine
what is variations in raman spectra for nanomaterials
Jyoti Reply
I only see partial conversation and what's the question here!
Crow Reply
what about nanotechnology for water purification
RAW Reply
please someone correct me if I'm wrong but I think one can use nanoparticles, specially silver nanoparticles for water treatment.
Damian
yes that's correct
Professor
I think
Professor
Nasa has use it in the 60's, copper as water purification in the moon travel.
Alexandre
nanocopper obvius
Alexandre
what is the stm
Brian Reply
is there industrial application of fullrenes. What is the method to prepare fullrene on large scale.?
Rafiq
industrial application...? mmm I think on the medical side as drug carrier, but you should go deeper on your research, I may be wrong
Damian
How we are making nano material?
LITNING Reply
what is a peer
LITNING Reply
What is meant by 'nano scale'?
LITNING Reply
What is STMs full form?
LITNING
scanning tunneling microscope
Sahil
how nano science is used for hydrophobicity
Santosh
Do u think that Graphene and Fullrene fiber can be used to make Air Plane body structure the lightest and strongest. Rafiq
Rafiq
what is differents between GO and RGO?
Mahi
what is simplest way to understand the applications of nano robots used to detect the cancer affected cell of human body.? How this robot is carried to required site of body cell.? what will be the carrier material and how can be detected that correct delivery of drug is done Rafiq
Rafiq
if virus is killing to make ARTIFICIAL DNA OF GRAPHENE FOR KILLED THE VIRUS .THIS IS OUR ASSUMPTION
Anam
analytical skills graphene is prepared to kill any type viruses .
Anam
Any one who tell me about Preparation and application of Nanomaterial for drug Delivery
Hafiz
what is Nano technology ?
Bob Reply
write examples of Nano molecule?
Bob
The nanotechnology is as new science, to scale nanometric
brayan
nanotechnology is the study, desing, synthesis, manipulation and application of materials and functional systems through control of matter at nanoscale
Damian
Is there any normative that regulates the use of silver nanoparticles?
Damian Reply
what king of growth are you checking .?
Renato
What fields keep nano created devices from performing or assimulating ? Magnetic fields ? Are do they assimilate ?
Stoney Reply
why we need to study biomolecules, molecular biology in nanotechnology?
Adin Reply
?
Kyle
yes I'm doing my masters in nanotechnology, we are being studying all these domains as well..
Adin
why?
Adin
what school?
Kyle
biomolecules are e building blocks of every organics and inorganic materials.
Joe
how did you get the value of 2000N.What calculations are needed to arrive at it
Smarajit Reply
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Source:  OpenStax, Statistical signal processing. OpenStax CNX. Dec 05, 2011 Download for free at http://cnx.org/content/col11382/1.1
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