Minimum Norm Under a Linear Constraint

Statistics
Optimization
Easy
Minimize subject to .
Hint 1

Use a Lagrange multiplier with the constraint .

Hint 2

By symmetry, the optimal point should have .

Show worked solution
  1. 1. Set up the Lagrangian

    Introducing a multiplier for the constraint, the first-order conditions give and , so .

  2. 2. Solve using the constraint

    Combining with gives , and the minimum value follows by substitution.

Answer: x=1/2, y=1/2, minimum value 1/2

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