Lagrange multipliers in Maximum likelihood estimations and Least squares problems with Constraints

Abstract

This study investigates a statistical property of Lagrange multipliers in constrained Maximum Likelihood Estimation (MLE) and Least Squares (LS) problems from the perspective of numerical optimization. Building on large-sample theory, we show that the associated Lagrange multipliers converge to zero as the sample size increases, provided the distribution is correctly specified in MLE or the residuals are normally distributed in LS. Although this asymptotic behavior has long been recognized in statistics, it has received little explicit attention in numerical optimization and has rarely been exploited in algorithmic design. Importantly, the insight extends beyond classical low-dimensional settings: even in modern high-dimensional applications, such as deep learning, where the number of parameters may exceed the sample size, the same reasoning applies provided the generalization performance is good. This observation has two main implications. First, many constrained optimization algorithms, including the Augmented Lagrangian Method, Sequential Quadratic Programming, and Interior Point methods, require initial values for the multipliers, and choosing zero is statistically justified. Numerical experiments for constrained regressions and dynamic discrete choice model estimations support this implication by showing that initializing multipliers at zero usually lead to stable and efficient performance. Second, penalty-based approaches that convert constrained problems into unconstrained ones can perform well when the true multipliers are small. This helps explain why penalty-based methods often perform well in practice.