A Note on the Method of Lagrange Multipliers with Random Variables

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2016 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

Copyright policy )

Authors: Kerr, Steven;

doi: 10.2139/ssrn.2883305 , 10.13140/rg.2.2.35514.24002

A Note on the Method of Lagrange Multipliers with Random Variables

- Summary
- Metrics

Abstract

I examine a simple optimisation problem to illustrate how to correctly apply the method of Lagrange multipliers to extremisation problems involving random variables. Such problems are commonplace in economics, but rigorous methods are often not taught. This is a shortcoming in economics pedagogy that it is both easy and worthwhile to remedy. A simple, correct method is presented.

Related Organizations

University of Edinburgh
United Kingdom

Impact byBIP!

	selected citations These citations are derived from selected sources. This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	0
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Average
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Average
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Average