Module 51Preview

Multivariable Optimization (Unconstrained & Constrained) + SOC (Hessian Idea)

2 min read·CUET PG Economics

1) Unconstrained optimization (two variables)

Maximize/minimize:

f(x,y)f(x,y)

1.1 First-order conditions (FOC)

fx=∂f∂x=0,fy=∂f∂y=0f_x=\frac{\partial f}{\partial x}=0,\quad f_y=\frac{\partial f}{\partial y}=0

Solutions are critical points.


2) Second-order conditions (SOC): Hessian (CUET-level)

Second derivatives:

fxx,  fyy,  fxyf_{xx},\; f_{yy},\; f_{xy}

Hessian matrix:

H=[fxxfxyfyxfyy]H=\begin{bmatrix} f_{xx} & f_{xy}\\ f_{yx} & f_{yy} \end{bmatrix}

Determinant of Hessian:

D=fxxfyy−(fxy)2D = f_{xx}f_{yy} - (f_{xy})^2

Classification (for two variables):

  • Local minimum if D>0D>0 and fxx>0f_{xx}>0
  • Local maximum if D>0D>0 and fxx<0f_{xx}<0
  • Saddle point if D<0D<0
  • If D=0D=0: inconclusive

3) Constrained optimization: Lagrange method (practice-ready)

Maximize f(x,y)f(x,y) subject to:

g(x,y)=cg(x,y)=c

Lagrangian:

L=f(x,y)+λ[c−g(x,y)]\mathcal{L}=f(x,y)+\lambda[c-g(x,y)]

FOCs:

Lx=0,Ly=0,Lλ=0\mathcal{L}_x=0,\quad \mathcal{L}_y=0,\quad \mathcal{L}_\lambda=0

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