medaka rb 2016/02/21
TRANSCRIPT
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7/24/2019 Medaka rb 2016/02/21
1/3
Solve:
maximize f =xy
subject to x+y= 2
Soln : KKT condition f =xyh=x+y 2
l
f +h= 0 y
x
+
11
= 0
y+ = 0x+= 0
x+y= 2l
x= 1y= 1= 1
l
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7/24/2019 Medaka rb 2016/02/21
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2(xy) =
2fx2
2fxy
fyx
fy2
=
0 11 0
(x, y
0 11 0
xy
= 2xy 0
0 11 0
0However,
p=log(x)q=log(y)
maximize f =exp(p+ q)
subject to x+y= 2
f =exp(p+ q)
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7/24/2019 Medaka rb 2016/02/21
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2(xy) =
2fx2
2fxy
fyx
fy2
=
exp(p+ q) exp(p+ q)exp(p+ q) exp(p+ q)
exp(p+ q) =exp(p) +exp(q) =x+y= 2
2(xy) =
2 22 2
(x y
2 22 2
x
y
= 2(x+y)2 0