[Search for users] [Overall Top Noters] [List of all Conferences] [Download this site]

Conference rusure::math

Title:Mathematics at DEC
Moderator:RUSURE::EDP
Created:Mon Feb 03 1986
Last Modified:Fri Jun 06 1997
Last Successful Update:Fri Jun 06 1997
Number of topics:2083
Total number of notes:14613

1864.0. "Lagrangian" by NOVA::FINNERTY (lies, damned lies, and the CAPM) Tue Mar 29 1994 12:35

    
    I've encountered many papers that refer to "forming the Lagrangian",
    and proceed to use it without references or explanation.
    
    Can anyone explain to me what Lagrange's relation is and how it
    is derived?
    
T.RTitleUserPersonal
Name
DateLines
1864.1it comes from classical mechanics3D::ROTHGeometry is the real life!Tue Mar 29 1994 16:4737
   Suppose you have a mechanical system such as masses, springs, or
   gravitiational potentials, constraints such as coupled linkages,
   etc.  This has associated with it a phase space - the positions and
   velocities.  The positions may be space coordinates, or may
   be "generalized coordinates" like angles, likewise the velocites
   may be rates of change of the generalized coordinates.

   The laws of mechanics lead to a system of second order differential
   equations, and a point in phase space is an initial condition that
   you can solve from.

   The Lagrangian point of view is to instead think of the evolution
   of the system as the path through phase space that minimizes
   a functional of the generalized coordinates called the Lagrangian
   (which can also depend on time.)  This is the principle of
   least action. Fermat's principle, etc.

   In many cases, the Lagrangian is the difference between potential
   energy and kinetic energy, so it may be easier to formulate a problem
   using ideas of energy conservation.

   Another nice thing about Lagrangian formalism is it works for
   quantum mechanics and other not purely mechanical problems.

   There's also a related Hamiltonian formalism which transforms the
   second order differential equations into a system of first order
   equations along with a Hamiltonian function.

   It's actually pretty cool stuff.  I'd recommend finding a book by
   Vladimar Arnold, _Mathematical Methods for Classical Mechanics_.

   I've dabbled with computer simulation of some of these things -
   the N-body particle problem under Newtonian gravitation with
   3D lighting and shading of the particles is easy to do and really
   neat looking.

   - Jim
1864.2Efficient portfolio mathematicsALPHA3::FINNERTYlies, damned lies, and the CAPMWed Apr 06 1994 16:2043
    
    I spent some time last night pawing through my old differential
    equations textbook, which for all intents and purposes was completely
    unrecognizable to me.
    
    There was a section or two on 'affine equations' that led up to a
    section on Lagrange's relation.  Lagranges relation is not limited to
    second order differential equations, but there was an extended
    discussion of the second order special case.
    
    Even after reading it, I don't really understand it.
    
    The motivation for this comes from portfolio optimization.  Working
    from memory, the relations are:
    
    	Define the following symbols:
    
    		n	- the number of securities in the portfolio
    		Ri	- the total return of security i.  R is the
    			  vector of security returns.
    		Wi	- the proportion of total assets invested in
    			  security i.  W is the vector of these weights.
    		Rp	- target portfolio return
    		Cij	- the covariance of returns of securities i and j.
    			  The variance of security i is Cii, the total 
			  portfolio variance is W C W'.  
    	
    	under the conditions that
    
    		W * 1 = 1 			(the weights sum to 1)
    		W R = Rp			(target return achieved)
    
        we want to minimize weighted portfolio variance W C W' for any 
    	desired level of return Rp.  To do this, we form the Lagrangian:
    
    		L = W C W' + lambda1 (W*1 - 1) + lambda2 (W R - Rp);
    
    	where lambda1 and lambda2 are unspecified multipliers. 
    
    So what is the idea behind including the constraints in this fashion?
    
    /Jim
    
1864.3Lagrange Multipliers3D::ROTHGeometry is the real life!Wed Apr 06 1994 19:3542
   Oh, that's another, related Lagrangian idea.

   Say you want to do contstrained minimization of f(x, y) subject
   to the requirement that g(x, y) = 0.

   g(x, y) defines one or more curves in the xy plane (it could be
   x^2 + y^2 = r^2 for a circle centered at the origin for example, or
   even a function which has several branches of curves...)

   You want to find the point on the submanifold of points satisfying
   g(x, y) = 0 (which is a trivial curve in this case) that also
   minimizes the value of f(x, y).  If you draw a picture of a line
   cutting thru contour curves for f(x, y), you will see that any local
   minimum will be at a point where the level curves for f and g are
   tangent.

   Lagrange's idea is to introduce a free variable and globally minimize

       F(x, y, l) = f(x, y) + l*g(x, y)

   The stationary point occurs where the gradient vanishes, by analogy
   with the unconstrained case.

   Taking the gradient with respect to x, y, and l, we require

      dF/dx = df/dx + l*dg/dx = 0

      dF/dy = df/dy + l*dg/dy = 0

      dF/dl =  0    + g(x, y) = 0   (since f and g are independant of l)

   The first two equations say that the gradients of f and g are
   parallel, and the third satisfys the constraint.

   It's not hard to see how this fits what your optimization is
   doing.

   I gave the wrong answer origionally because what you're asking for
   is usually known as introducing Lagrange multipliers rather than
   forming the Lagrangian.

   - Jim
1864.4NOVA::FINNERTYlies, damned lies, and the CAPMWed Apr 06 1994 20:265
    
    thank you, Jim.
    
       /jim