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lagrange multipliers in python

Hi all,

Sorry for the cross-posting.

I'm trying to find the minimum of a multivariate function F(x1, x2, ...,
xn) subject to multiple constraints G1(x1, x2, ..., xn) = 0, G2(...) =
0, ..., Gm(...) = 0.

The conventional way is to construct a dummy function Q,

$$Q(X, \Lambda) = F(X) + \lambda_1 G1(X) + \lambda_2 G2(X) + ... + \lambda_m
Gm(X)$$

and then calculate the value of X and \Lambda when the gradient of function Q
equals 0.

I think this is a routine work, so I want to know if there are available
functions in python(mainly scipy) to do this? Or maybe there is already
a better way in python?

I have googled but haven't found helpful pages.

Thanks a lot.

Xiao Jianfeng
Jun 14 '07 #1
0 943

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