A Note on the Method of Lagrange Multipliers with Random Variables

4 Pages Posted: 12 Dec 2016 Last revised: 23 Mar 2019

Date Written: March 19, 2019

Abstract

I examine a simple optimisation problem to illustrate how to apply the method of Lagrange multipliers to optimisation problems involving random variables.

Keywords: optimisation, method of Lagrange multipliers

JEL Classification: C61

Suggested Citation

Kerr, Steven, A Note on the Method of Lagrange Multipliers with Random Variables (March 19, 2019). Available at SSRN: https://ssrn.com/abstract=2883305 or http://dx.doi.org/10.2139/ssrn.2883305

Steven Kerr (Contact Author)

University of Edinburgh ( email )

31 Buccleuch Place
Edinburgh, EH8 9JT
United Kingdom

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