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    Sec 8 Maximmization

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    Somrita Banerjee
    This document discusses two approaches to maximizing a function L of two variables, a and b. The first approach is to solve the equations for the partial derivatives of L with respect to a and b to find a stationary point. Alternatively, one can first solve for the best value of b for each value of a, resulting in a function of just a. Maximizing this function of a using the chain rule is equivalent to the first approach and results in the same equations needing to be solved. Numerically, the second approach of optimizing a univariate function can be preferable to the bivariate problem, especially if the optimal b can be determined analytically for each a.

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    Sec 8 Maximmization

    Uploaded by

    Somrita Banerjee
    50 views1 page
    This document discusses two approaches to maximizing a function L of two variables, a and b. The first approach is to solve the equations for the partial derivatives of L with respect to a and b to find a stationary point. Alternatively, one can first solve for the best value of b for each value of a, resulting in a function of just a. Maximizing this function of a using the chain rule is equivalent to the first approach and results in the same equations needing to be solved. Numerically, the second approach of optimizing a univariate function can be preferable to the bivariate problem, especially if the optimal b can be determined analytically for each a.

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    Sec 8 Maximmization

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    This document discusses two approaches to maximizing a function L of two variables, a and b. The first approach is to solve the equations for the partial derivatives of L with respect to a and b to find a stationary point. Alternatively, one can first solve for the best value of b for each value of a, resulting in a function of just a. Maximizing this function of a using the chain rule is equivalent to the first approach and results in the same equations needing to be solved. Numerically, the second approach of optimizing a univariate function can be preferable to the bivariate problem, especially if the optimal b can be determined analytically for each a.

    Copyright:

    © All Rights Reserved
    Download as DOC, PDF, TXT or read online from Scribd
    Download as doc, pdf, or txt
    50 views1 page

    Sec 8 Maximmization

    Uploaded by

    Somrita Banerjee
    This document discusses two approaches to maximizing a function L of two variables, a and b. The first approach is to solve the equations for the partial derivatives of L with respect to a and b to find a stationary point. Alternatively, one can first solve for the best value of b for each value of a, resulting in a function of just a. Maximizing this function of a using the chain rule is equivalent to the first approach and results in the same equations needing to be solved. Numerically, the second approach of optimizing a univariate function can be preferable to the bivariate problem, especially if the optimal b can be determined analytically for each a.

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    © All Rights Reserved
    Download as DOC, PDF, TXT or read online from Scribd
    Download as doc, pdf, or txt
    of 1

    Maximization of a function of two variables.

    Jery Stedinger
    October 2006
    Consider the maximization of L[a,b]. The general solution recommended by multivariate
    calculus is to solve for a stationary point defined by the two equations:
    L[a, b]
    a
    = 0
    L[a, b]
    b
    = 0
    !"
    One needs to chec# the second derivatives to confirm a ma$imum has been found%
    Alternatively, one could decide that one wanted to first solve for the best value of b&a" for every
    a% This best value would be obtained by for each a solving the equation:
    L[a, b]
    b
    = 0 2"
    One could then attempt to ma$imi'e over a the function ()a* b&a" +, thus for every a* the second
    parameter b ta#es the best possible value: now ( is a function only of a%
    -a$imi'ing ( as a function of a* using the chain rule* we see# the a value where:
    dL[a, b *(a)]
    da
    =
    [, ()]

    +
    [, ()]

    = 0 ."
    /ecall that the function solves b&a" the equation
    L[a, b]
    b
    = 0 * so that the second term in the
    equation above vanishes, thus we obtain
    dL[a, b * (a)]
    da
    =
    [, ()]

    0"
    The conclusion is that one can see# the point a*b" that ma#es both partial derivatives vanish* as in
    eqn% !, or we can solve eqn% 2" to obtain the best b for every a* denoted b&a"* and then see# the
    best a overall% 1t turns out that the second approach is equivalent analytically to the first because
    see#ing the ma$imum of ()a* b&a" + at the point satisfying equation ." is equivalent to see#ing a
    solution to the first and second constraints in eqn% !"%
    2umerically* if one see#s to ma$imi'e ()a*b+* the second approach can be very attractive*
    particularly if one can determine b&a" analytically% Then one has only a univariate optimi'ation
    problem* rather than a bivariate problem% 3hen solving the problem analytically* the two
    approaches yield e$actly the same equations that need to be solved%

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