A simple proof of existence of Lagrange multipliers

Abstract

In the seminal book Méchanique analitique, Lagrange, 1788, the notion of a Lagrange multiplier was first introduced in order to study a smooth minimization problem subject to equality constraints. The idea is that, under some regularity assumption, at a solution of the problem, one may associate a new variable (Lagrange multiplier) to each constraint such that an equilibrium equation is satisfied. This concept turned out to be central in studying more general constrained optimization problems and it has lead to the rapid development of nonlinear programming as a field of mathematics since the works of Karush and Kuhn-Tucker, who considered equality and inequality constraints. The usual proofs for the existence of Lagrange multipliers are somewhat cumbersome, relying on the implicit function theorem or duality theory. In the first section of this note we present an elementary proof of existence of Lagrange multipliers in the simplest context, which is easily accessible to a wide variety of readers. In addition, this proof is readily extended to the much more general context of conic constraints, which we present in the second section together with the background properties needed on the projection onto a closed and convex cone.