CHAPTER 4

Variational Problems with Constraints

In Section 1.1.4 we examined the problem of finding the shape of chain or a rope
suspended from two points a D .a; c/ and b D .b; c/ under the force of gravity. We
discoverd there that it was necessary to find the minimum of the functional
Z b p
F .u/ D u.x/ 1 C u0 .x/2 dx
a
subject to the constraint
Z b p
L.u/ D 1 C u0 .x/2 dx D l;
a
as well as the end conditions u.a/ D c and u.b/ D d . This chapter will be devoted to
more variational problems with constraints. We will start with more examples.

4.1. Examples
There are three types of constraints that occur. We will give examples of all three.
4.1.1. The isoperimetric problem
Let I D .a; b/ and suppose that u 2 C 1 .I /. assuming that u.x/  0 for all x, the
area under the graph of u is given by the area functional, defined to be
Z b
(4.1.1) A.u/ D u.x/ dx:
a
On the other hand, the length of the graph of u is given by the length funcitonal
Z bp
(4.1.2) L.u/ D 1 C u0 .x/2 dx:
a

The isoperimetric problem is to find the function u 2 C 1 .I / which minimizes L.u/ sub-
ject to the constraint A.u/ D A, and the end conditions u.a/ D c and u.b/ D d .
This problem illustrates our first class of constrained problems. We want to mimimize
a functional
Z b
F .u/ D F .x; u.x/; u0 .x// dx
a
subject to a constraint expressed in terms of another functional
Z b
(4.1.3) G .u/ D G.x; u.x/; u0 .x//; dx D C;
a
where C is a constant, as well as the end conditions u.a/ D c and u.b/ D d . Because this
is the type of constraint that appears in the isoperimetric problem, a constraint such as that
in (4.1.3) is called an isoperimetric constraint.
39
40 4. VARIATIONAL PROBLEMS WITH CONSTRAINTS

4.1.2. Geodesics in an implicitly defined surface

Suppose we have a surface S  R3 defined by the equation
g.x; y; z/ D 0:
How do we find the geodesics in the surface S ?
A vector valued function x.t/ D .x.t/; y.t/; z.t// parametrizes a curve in R3 . This
curve will lie in the surface S provided that
g.x.t// D 0 for all t.
Thus we want to find parametrizations x which minimize the parametrized length func-
tional
Z b
L.x/ D jx0 .t/j dt;
a
subject to the constraint g.u.t/ D 0, and end conditions like x.a/ D a and a.b/ D b.
The more general class of problems reguires finding extrema for a functional of the
usual form
Z b
F .u/ D F .x; u.x/; u0 .x// dx;
a
subject to a constraint
(4.1.4) g.x; u.x// D 0 for all a  x  b,
together with some end conditions. A constraint of the type in (4.1.4) is called a holonomic
constraint.
4.1.3. Maximizing profit from an enterprise
Consider we own an enterprise that has a net profit of u.t/ measured in dollars. We
want to invest a portion of that profit back into the enterprise in order to increase future
profits. Denote the portin reinvested by r.t/ where 0  r.t/  1: The result of this
reinvestment s that the net profit increase by a constant multiple of the reinvested amount.
Thus there is a constant k such that
(4.1.5) u0 D kru; with u.0/ D u0 :
The total profit over the period 0  t  T is the integral of profits that are not
reinvested, given by
Z T
P .u; r/ D .1 r.t// u.t/ dt:
0
The problem is to find the the functions u and r which maximizes P .u; r/ suject to the
constraint in (4.1.5). Notice that the constrain in (4.1.5) is a differential equation.
More generally, we want to extrema for a functional of the usual form
Z b
F .u/ D F .x; u.x/; u0 .x// dx;
a
subject to a constraint of the form
(4.1.6) g.x; u.x/; u0 .x// D 0 for all a  x  b,
together with some end conditions. A constraint of the type in (4.1.6) is called a nonholo-
nomic constraint.
We will examine each type of constraint in this chapter, but we will begin by looking
at constrained extrema in calculus.
 4.3. ISOPERIMETRIC CONSTRAINTS 41

4.2. Constrained extrema for functions – Lagrange multipliers

Suppose that   R2 is an open set and that g 2 C 1 ./. Let
S D f.x; y/ 2  g.x; y/ D 0g :
Suppose that f is another function in C 1 ./. We really want to look at f as a function on
the set S . We have the following result, which is important in its own right, and will be of
use to us in the rest of this chapter.
Theorem 4.1. Suppose that f W S ! R has a local extremum at x0 D .x0 ; y0 / 2 S .
Suppose in addition that rg.x0 / ¤ 0. Then there is a real number  such that
r.f C g/.x0 / D 0:
Remark 4.2. The theorem says that if f W S ! R has a local extremum at x0 , then there
is a  such that f C g has an extremal as a function defined on all of :
Remark 4.3. To find the extremal x0 we find the three numbers x0 D .x0 ; y0 / and 
satisfying the two equations in the vector equation r.f C g/.x0 / D 0 and the equation
g.x0 / D 0: This is three equations that must be solved for three unknowns. Usually this is
possible.
P ROOF OF T HEOREM 4.1. Since rg.x0 ; y0 / ¤ .0; 0/, we may assume that
gy .x0 ; y0 / ¤ 0. By the implicit function theorem (Theorem A.14) we can solve g.x; y/ D
0 for y D h.x/ for x near x0 . Then h.x0 / D y0 and g.x; h.x// D 0 for x near x0 . Differ-
entiating this equation, we see that
gx C gy h0 D 0 or h0 D gx =gy :
Consider the function .x/ D f .x; h.x//. Since .x; h.x// 2 S ,  has a local ex-
tremum at x D x0 . Hence 0 D  0 .x0 / D fx .x0 ; y0 / C fy .x0 ; y0 /h0 .x0 / or
fy .x0 ; y0 /
fx .x0 ; y0 / D fy .x0 ; y0 /h0 .x0 / D gy .x0 ; y0 / :
gy .x0 ; y0 /
Trivially
fy .x0 ; y0 /
fy .x0 ; y0 / D gy .x0 ; y0 / ;
gy .x0 ; y0 /
so rf .x0 ; y0 / D rg.x0 ; y0 /, where  D fy .x0 ; y0 /=gy .x0 ; y0 /:
Remark 4.4. The same theorem is valid in Rn . The proof is almost identical as well.

4.3. Isoperimetric constraints

Using the Theorem 4.1 we can easily handle isoperimetric constraints. We want to
find local extrema of the functional
Z b
(4.3.1) F .u/ D F .x; u.x/; u0 .x// dx
a
subject to the isoperimetric constraint
Z b
(4.3.2) G .u/ D G.x; u.x/; u0 .x// dx D C;
a
and the end conditions
(4.3.3) u.a/ D c and u.b/ D d:
Our result is
42 4. VARIATIONAL PROBLEMS WITH CONSTRAINTS

Theorem 4.5. Suppose the Lagrangians F anf G belong to C 2 .I  U /, where I D .a; b/

and U  R2 . Suppose that u 2 C 1 .I / is a local extremum for F subject to the isopermet-
ric constraint in (4.3.2) and the end conditions in (4.3.3). Suppose in addition that there is
a function 2 C01 .I / such that ıG .u; / ¤ 0: Then there is a real number  such that
ı.F C G /.u; / D 0 for all  2 C01 .I /,
and so u is a weak extremal fo the functional F C G .
If we have u 2 C 2 .I /, then u satisfies the Euler-Lagrange equation
d
.Fu C Gu / Fp C Gp D 0:


dx
Therefore u is an extremal for the functional F C G .
P ROOF. By multiplying by a constant, we may assume that ıG .u; / D 1: For
 2 C/1 .I /, consider the functions
ˆ.s; t/ D F .u C s C t / and ‰.s; t/ D G .u C s C t /;
defined for small s and t. The set
S D f.s; t/ ‰.s; t/ D C g
consists of those .s; t/ for which the function uCs Ct satisfies the constraint in (4.3.2).
Therefore, the function ˆ has a local extremum at .0; 0/. Furthermore,
Z b
@‰ d
.0; t/ D G.x; u C t ; u0 C t 0 / dx
@s dt a
Z b
D Gu .x; u C t ; u0 C t 0 / C Gp .x; u C t ; u0 C t 0 / 0 dx;
 
a
so at s D 0 we have
@‰
(4.3.4) .0; 0/ D ıG .u; / D 1:
@t
In particular, r‰.0; 0/ ¤ 0; so the hypotheses of Theorem 4.1 are satisfied. Therefore
there is a real number  such that r .ˆ C ‰/ .0; 0/ D 0. By the same argument that lead
to (4.3.4), we get
@
(4.3.5) 0D .ˆ C ‰/ .0; 0/ D ıF .u; / C ıG .u; /
@s
@
(4.3.6) 0D .ˆ C ‰/ .0; 0/ D ıF .u; / C ıG .u; /
@t
By (4.3.6) and the fact that ıG .u; / D 1, we see that  D ıF .u; /, which means that
 does not depend on the choice of . Therefore (4.3.5) is valid for all  2 C01 .I / with
the same . Consequently, u is a weak extremal for F C G .
If u 2 C 2 .I /, we can integrate by parts as we did before and conclude that u is an
extremal for F C G .

Theorem 4.5 can be generalized in two ways. We can allow the functional to depend
on a vector valued function, so that
Z b
F .u/ D F x; u.x/; u0 .x/ dx;


(4.3.7)
a
 4.3. ISOPERIMETRIC CONSTRAINTS 43

where u 2 C 1 .I ; RN /. In addition we can have several isoperimetric constraints

Z b
(4.3.8) G j .u/ D G j .x; u.x/; u0 .x// dx D C j for j D 1; 2; : : : ; m:
a
For this more general situation we have the folowing result.
Theorem 4.6. Suppose the Lagrangians F anf G j belong to C 2 .I  /, where I D
.a; b/ and   R2N . Suppose that u 2 C 2 .I ; RN / is a local extremum for F subject to
the isopermetric constraints in (4.3.8) and the end conditions u.a/ D c and u.b/ D d.
Suppose in addition that there are functions j 2 C01 .I; RN / for j D 1; 2; : : : ; m such
that the m  m matrix
A D ıG j .u; k /

is nonsingular. Then there are real numbers j for j D 1; 2; : : : ; m such that u satisfies
the Euler-Lagrange equations

0 1 0 1
m m
X d @ X
@Fuk C j Guj k A Fpk C j Gpj k A D 0; for k D 1; 2; : : : ; N .
dx
j D1 j D1
Pm
Therefore u is an extremal for the functional F C j D1 j G j .
The proof of this more general theorem is only slightly more difficult that that of
Theorem 4.5.

4.3.1. The hanging chain

We discussed this problem at the beginning of this chapter. We discovered there that
it was necessary to find the minimum u of the functional
Z b p
F .u/ D u.x/ 1 C u0 .x/2 dx
a
subject to the constraint
Z b p
L.u/ D 1 C u0 .x/2 dx D l;
a
as well as the end conditions u.a/ D c and u.b/ D d .
Suppose that u 2 C 2 .I / is a local constrained minimum. According to Theorem 4.5,
there is a real number  such that u is an extremal of the functional
Z b p
.F C G / .u/ D .u.x/ C / 1 C u0 .x/2 dx:
a
If we make the substitution v.x/ D u.x/ C , then, since v 0 D u0 , v must be an extremal
of
Z b p
H .v/ D v.x/ 1 C v 0 .x/2 dx:
a
This is the same functional that occured in Section 2.5.2, so we know that the solution is
the catenary in (2.5.2),
1
v.x/ D cosh.M x C N /:
M
44 4. VARIATIONAL PROBLEMS WITH CONSTRAINTS

Thus
1
u.x/ D cosh.M x C N / :
M
The three constants M , N , and  cam be found by solving the three equations u.a/ D c,
u.b/ D d , and L.u/ D l:
Let’s look at the special case with the end conditions u. a/ D u.a/ D c. This implies
first that N D 0, and then that
1 1
c D u.a/ D cosh.M a/  or  D cosh.M a/ c:
M M
So far we know that
 
1
u.x/ D cosh.M x/ C c cosh.M a/ :
M
We have yet to determine the constant M . For this we use the equation
l D L.u/
Since u0 .x/ D sinh.M x/, this becomes
Z aq a
2
Z
lD 1 C sinh2 .M x/ dx D cosh.M x/ dx D sinh.M a/:
a a M
If we set y D M a, or M D y=a, this equation becomes
l
y D sinh y:
2a
It is easy to see that the equation ˛y D sinh y has a unique positive solution if and only
if the coefficient ˛ > 1. In our case l is the length of the chain, and 2a is the distance
between the points of suspension, so clearly l > 2a. Therefore there is a unique solution.
4.3.2. The isoperimetric problem
In Section 4.1.1 we reduced this problem to finding a minimum of the length funcitonal
Z bp
(4.3.9) L.u/ D 1 C u0 .x/2 dx:
a
subject to the constraint that the area functional
Z b
(4.3.10) A.u/ D u.x/ dx D A:
a
where A is fixed. In addition u must satisfy the end conditions u.a/ D c and u.b/ D d .
Suppose that u 2 C 2 .I / is a local constrained minimum. According to Theorem 4.5,
there is a real number  such that u is an extremal of the functional
Z b hp i
.L C A/ .u/ D 1 C u0 .x/2 C u.x/ dx:
a
p
The Lagrangian of this functional is F .u; p/ D 1 C p 2 Cu: Since Fx D 0, the quantity
p2 p 1
pFP F D p 1 C p 2 u D p u
1Cp 2 1 C p2
is conserved. Therefore there is a constant C1 such that
p
.u C C1 / 1 C p 2 D 1:
 4.4. HOLONOMIC CONSTRAINTS 45

If we substitute v D u C C1 , and notice that v 0 D u0 , we get the differential equation

p
v 2 C v 0 2 D :
Solving for v 0 and separating variable leads to
v 0 dv
p D  dx:
1 v2
Integrating, we get
p
1 v 2 D C2 x or v 2 C .x C2 /2 D 1:
Substituting v D u C C1 we get
.u C C1 /2 C .x C2 /2 D 1:
It is convenient to divide this equation by 2 and then to set u0 D C1 =, x0 D C1 = and
R D 1=: Our equation then reads
.u u0 /2 C .x x0 /2 D R2 :
Consequently the graph of our solution u is an arc of the circle with center .x0 ; u0 / and
radius R.

4.4. Holonomic constraints

We will consider functionals of the form
Z b
(4.4.1) F .u/ D F .x; u.x/; u0 .x// dx:
a
1 N
where u 2 C .I ; R /, and I D .a; b/. We will demand that u satisfies a holonomic
constraint
(4.4.2) g.x; u.x// D C for a  x  b.
Suppose first that N D 1. Then the constraint is g.x; u/ D C . Assuming that
gu ¤ 0, we can uniquely solve the constraint equation for u as a function of x. Thus there
is at most one function satisifying the constraint, so there is really no problem. We will
therefore assume that N > 1. Here is our result.
Theorem 4.7. Suppose that F 2 C 2 .I  /. Suppose that g 2 C 2 .I  W /, where W 
RN and that ru g.x; u/ ¤ 0 on the set where g.x; u/ D C . Suppose that u 2 C 2 .I ; W /
is a local extremum for F , subject to the holonomic constraint in (4.4.2). then there is a
function  2 C 1 .I / such that u is an extremal of the functional
Z b
G .u/ D F .x; u.x/; u0 .x// C .x/g.x; u.x/ dx:
 
(4.4.3)
a

Remark 4.8. Notice that we again get a “Lagrange multiplier”, but this time it is a function
defined on I and not a number.
Remark 4.9. The Lagrangian of the functional G in (4.4.3) is
G.x; u; p/ D F .x; u; p/ C .x/g.x; u/:
The Euler-Lagrange equations are
d
Fuj C guj Fp D 0 for j D 1; 2; : : : ; N .
dx j
46 4. VARIATIONAL PROBLEMS WITH CONSTRAINTS

This can be written more succinctly as

d
ru F C ru g rp F D 0:
dx
P ROOF. We will assume that N D 2 because the proof is a little more transparent.
Let
S D f.x; u/ g.x; u/ D C g
Since ru g ¤ 0 on S , S is a surface in R  R2 . The mapping x ! .x; u.x// D
.x; u.x/; v.x// parametrizes a curve in S . For x 2 I we let
Sx D fu D .u; v/ .x; u/ 2 S g :
For each x Sx is a C 2 curve in R2 , and u.x/ D .u.x/; v.x// 2 Sx . The nonzero vector
ru g.x/ D .gu .x/; gv .x// is orthogonal to the curve Sx at u.x/. Define
ru g.x/
n.x/ D for a  x  b :
jru g.x/j
For fixed x, the vector n.x/ is a vector of length 1 which is orthogonal to the curve Sx at
u.x/. Suppose that n.x/ D .n1 .x/; n2 .x//. Then the vector t.x/ D . n2 .x/; n1 .x// is
a vector of length 1, and n.x/
t.x/ D 0, so n.x/ and t.x/ are orthogonal. The vector
t.x/ is tangent to the curve Sx at u.x/. If v 2 R2 is any vector, set vN D .v
n.x//n.x/
and vT D .v
t.x//t.x/: vN is called the normal component of v, and vT is the tangential
compontent. Then v D vN C vT , for any vector v 2 R2 .
Suppose that  2 C01 .I /. For small values of s the point u.x/ C s.x/t.x/ is not
likely to belong to Sx , but because t.x/ is tangential to Sx it will be very close. Define
.s; x/ to be the point in Sx which is closest to u.x/ C s.x/t.x/. The function 2 C 1
and has the following properties.
(4.4.4) .0; x/ D u.x/ for a  x  b:
(4.4.5) s .0; x/ D .x/t.x/ for a  x  b:
d
(4.4.6) s .0; x/ 2 C1 and sx .0; x/ D Œ.x/t.x/ for a  x  b:
dx
(4.4.7) g.x; .s; x// D C for a  x  b:
We will not prove these properties, but Figure [***] might be convincing.
Define
Z b
‰.s/ D F . .s;
/ D F .x; .s; x/; x .s; x// dx:
a
Because of (4.4.7), the function .s;
/ satisfies the constraint in (4.4.2). Since u is a local
minimum of F , and because of (4.4.4), we have
‰.s/  F .u/ D ‰.0/:
Hence ‰ has a local minimum at s D 0, so ‰ 0 .0/ D 0. We compute that
Z b
‰ 0 .s/ D ru F
s C rp F
sx dx:
 
a
At s D 0 we use (4.4.5) and (4.4.6) to see that
Z b 
0 d
0 D ‰ .0/ D ru F
Œ.x/t.x/ C rp F
Œ.x/t.x/ dx:
a dx
 4.4. HOLONOMIC CONSTRAINTS 47

We can now integrate by parts to conclude that

Z b 
d
0D ru F rp F
t.x/.x/ dx:
a dx
Since this is true for all  2 C01 .I /, the fundamental lemma of the calculus of variations
allow us to conclude that
 
d
ru F rp F
t.x/ D 0:
dx
d
Thus the tangential component of ru F dx rp F vanishes. Hence there is a function .x/
such that
d
ru F rp F D .x/ru g;
dx
or
d
ru .F C g/ rp F D 0:
dx
Since this is the Euler-Lagrange equation for the functional G in in (4.4.3), the theorem is
proved.
Remark 4.10. If there are several holonomic constraints,
g J .x; u.x// D C j ; j D 1; 2; : : : ; m;
we can put them into a vector constraint by setting g D .g 1 ; g 2 ; : : : ; g m / and C D
.C 1 ; C 2 ; : : : ; C m /: We then require that g.x; u.x// D C; and that the m  N matrix
 j 
@g
Du g.x; u/ D .x; u/
@uk
has rank m for all .x; u/ for which g.x; u/ D C. In particular this requires that m  N .
The conclusion is that if u is a local extremum for F subject to the holonomic constraint
g.x; u.x// D C, then there are functions 1 ; 2 ; : : : ; m such that u is an extremal of the
functional with Lagrangian
m
X
G.x; u; p/ D F .x; u; p/ C j .x/g j .x; u/
j D1

4.4.1. Geodesics in an implicitly defined surface

Let’s return to the problem of finding geodesics in an implicitly defined surface that
we began to explore in Section 4.1.2. Suppose that the surface is
S D x D .x; y; z/ 2 R3 g.x; y; z/ D C ;
˚

where rg.x; y; z/ ¤ 0 for .x; y; z/ 2 S . Suppose that a and b are two points in S . Then
g.a/ D g.b/ D C . If is a curve in S which joins a and b, then has a parametrization
defined on the interval I ,where I D .0; 1/: Thus we have x 2 C 2 .I ; R3 /, and the fact that
is a curve in S is equivalent to the constraint
(4.4.8) g.x.t// D C:
The length of is given by the functional
Z 1
(4.4.9) L.x/ D jx0 .t/j dt:
0
48 4. VARIATIONAL PROBLEMS WITH CONSTRAINTS

To find the geodesics in the surface S we want to find parametrizations x which minimize
L in (4.4.9) subject to the holonomic constraint (4.4.8).
By Theorem 4.7 a minimum x must be an extremal of the functional with Lagrangian
G.t; x; p/ D jpj C .t/g.x/:
We compute that
p
rx G D .t/rg and rp G D :
jpj
Hence the Euler-Lagrange equation is
 0 
d x .t/
D .t/rg.x/:
dt jx0 .t/j
We can choose any parametrization for defined on the unit interval, so choose the one
that has constant speed. This means that we can assume that jx0 .t/j D v, where v is a
constant. Then the Euler-Lagrange equation becomes
(4.4.10) x00 .t/ D .t/rg.x.t//; where .t/ D v.t/.
Thus any constant speed parametrization of a geodesic in the surface S must satisfy (4.4.10)
for a suitable funciton .t/, as well as the constraint equation (4.4.8).
Suppose, on the other hand that x.t/ satisfies (4.4.10) for some .t/ and the constraint
equation (4.4.8). If we differentiate (4.4.8), we get
(4.4.11) rg.x.t//
x0 .t/ D 0:
Then from (4.4.10) we get
x00 .t/
x0 .t/ D .t/rg.x.t//
x0 .t/ D 0:
Therefore

0
jx0 .t/j2 D 2x0 .t/
x00 .t/ D 0;
so x.t/ is a constant speed parametrization which also satisfies (4.4.10). Hence x.t/ satis-
fies the Euler-Lagrange equation and is the parametrization of a geodesic in S .
4.4.2. Geodesics in the sphere
Let’s look at the special case when S is the sphere
S D x D .x; y; z/ 2 R3 jxj2 D x 2 C y 2 C z 2 D R2
˚

of radius R.
The constraint equation is g.x; y; z/ D x 2 Cy 2 Cz 2 D R2 , so rg D 2.x; y; z/ D 2x:
Equation (4.4.10) becomes the system
(4.4.12) x00 D .t/x; or x 00 D 2.t/x; y 00 D 2.t/y; z 00 D 2.t/z:
If we differentiate the constraint equation we get
2x
x0 D 2xx 0 C 2yy 0 C 2zz 0 D 0:
Dropping the factor 2, and differentiating again we get
x0
x0 C x
x00 D 0:
Since the speed v D jx0 .t/j is constant we get, using (4.4.12)
v2 v2
v 2 C 2.t/jxj2 D 0 or .t/ D D :
jxj2 R2
 4.4. HOLONOMIC CONSTRAINTS 49

Thus .t/ is a negative constant. The first equation in the system in (4.4.12) is x 00 D
.v=R/2 x; which has general solution x.t/ D c cos.vt=R/ C d sin.vt=R/ where a and
b are constants. The solutions for y and z have a similar form, and in vecotr notation we
have
x.t/ D cos.vt=R/c C sin.vt=R/d
where c and d are arbitrary vectors in R3 . Thus for 0  t  1 the vector x.t/ is a linear
combination of c and d, and therefore lies in the plane through the origin spanned by these
two vectors, as well as in the sphere S. The intersection of a plane through the origin with
the sphere is defined to be a great circle, so our geodesic is a segment of a great circle.
4.4.3. The motion of the pendulum
Physicists prove that Hamilton’s principle works with holonomic constraints. We will
illustrate this by analyzing the motion of a pendulum.
Let’s assume that the pendulum rod has length R, the fixed end of the perndulum is at
the point .0; R/, and the bob has mass m. According to Hamilton’s principle, the motion
u.t/ D .x.t/; y.t// of the pendulum is such that u is an extremal of the functional
Z b
L.u/ D .T V / dt;
a
where the kinetic energy
1 1  2 2

T D mju0 j2 D m x 0 C y 0 ;
2 2
and the potential for the force of gravity is V D mgy. Of course the pendulum is con-
strained by the rod to follow the curve defined by
x 2 C .y R/2 D R2 :
According to Theorem 4.7, there is a function .t/ such that u D .x; y/ is an extremal
of the functional
Z b 
1  02 2

F .x; y/ D m x C y0 mgy C  x 2 C .y R/2 dt:
 
a 2
The Lagrangian is
1
F .t; x; y; p; q/ D m p2 C q2 mgy C  x 2 C .y R/2 :

 
2
From this we see that the Euler-Lagrange equations are
d d
(4.4.13) .mx 0 / D 2x; and .my 0 / D mg C 2.y R/:
dt dt
From the constraint we see that x D R sin  and R y D R cos , where  is the angle
the rod makes with the vertical. Differentiating and sustituting into (4.4.13), we get
h i
2
mR  00 cos   0 sin  D 2R sin ; and
h i
2
mR  00 sin  C  0 cos  D 2R cos  mg:
Multiplying the first equation by cos  and the second by sin  and adding we get
mR 00 D mg sin ;
which is the diferential equation for the motion of the pendulum.
50 4. VARIATIONAL PROBLEMS WITH CONSTRAINTS

4.5. Nonholonomic constraints

The subject of nonholonomic cnstraints is much more involved than the other con-
strained problems that we have discussed. Consequently we will simply state the theorem
without proof.
Theorem 4.11. Suppose that F , and g j for j D 1; 2; : : : ; m belong to C 3 .I  ; R/,
where   R2N and that u 2 C 2 .Œa; b; RN / is a local extremum of the functional
Z b
F .u/ D F .x; u.x/; u0 .x// dx
a
subject to the nonholonomic constraints
g j .x; u.x/; u0 .x// D 0 for j D 1; 2; : : : ; m.
Suppose that the constraints together with u satisfy the following
(1) The matrix
 j 
@g
Du g.x; u; u0 .x// D .x; u; u0 .x//
@pk
has rank m for a  x  b,
(2) The only solution to the system of differential equaions
r
" j
! #
X dg p d j
guj k k
j gpj k D 0 for k D 1; 2; : : : ; N :
dx dx
j D1

is 1 .x/ D 2 .x/ D


D m .x/ D 0:

Then there exist functions 1 ; 2 ; : : : ; m defined on Œa; b such that u is an extremal for
the functional with Lagrangian
m
X
G.x; u; p/ D F .x; u; p/ C j .x/g j .x; u; p/
j D1

Remark 4.12. The condition in (1) is not unexpected, since similar conditions were re-
quired for both isoperimetric and holonomic constraints. However, the condition in (2) is
unexpected.
Let’s look at some examples.
4.5.1. Functionals depending on the second and higher derivatives
Consider a functional of the form
Z b
(4.5.1) F .u/ D F .x; u.x/; u0 .x/; u00 .x// dx:
a
which depends on the second derivative u00 in addition to u and u0 . The appropriate end
conditions have the form
u.a/ D c; u0 .a/ D c0 ; u.b/ D d; and u0 .b/ D d0 :
Problems of this sort can be reduced to what we have already done by using the functional
Z b
(4.5.2) G .u; v/ D F .x; u.x/; u0 .x/; v 0 .x// dx;
a
together with the nonholonomic constraint
(4.5.3) u0 v D 0:
 4.5. NONHOLONOMIC CONSTRAINTS 51

It is clear that u is a local minimum of (4.5.1) if and only if the pair .u; u0 / is a local
minimizum of (4.5.1) subject to the constraint (4.5.3). According to Theorem 4.11, if the
pair .u; v/ is a local minimum of (4.5.1) subject to the constraint (4.5.3) implies that .u; v/
is an extremal of the functional with Lagrangian
F  .x; u; v; p; q/ D F .x; u; v; p; q/ C .x/.p v/
for some function .x/. The Euler-Lagrange equations for F  are
d  d
ru F D rp F C  ; and D rq F:

dx dx
Differentiating the second equation and substituting for 0 in the first we get the equation
d2 d
(4.5.4) 2
rq F rp F C ru F D 0:
dx dx
This is the Euler-Lagrange equation for the functional F in (4.5.1).

4.5.2. The shape of a clamped elastic beam

Consider a metal beam that is clamped at the two points a and b, and is deformed by
the force of gravity between these points. The shape of the beam is the graph of a function
y D u.x/: At the end points we must have
(4.5.5) u.a/ D u0 .a/ D u.b/ D u0 .b/ D 0:
The theory of elasticity informs us that the function u is an extremal of the functional
Z b
F .u/ D H u00 .x/2 C gu.x/ dx;
 
a
where H is a constant, and g is the acceleration due to gravity. The Lagrangian of F is
F .x; u; p; q/ D H q 2 C gu:
The Euler-Lagrange equation in (4.5.4) reduces in this case to
d2 
2H u00 C g D 0; or 2H u.iv/ C g D 0:

dx 2

The general solution to this fourth order differential equation is a polynomial of degree
4. Because of the end conditions in (4.5.5), this polynomial must vanish to second order
at both a and b. Hence it must have the form u.x/ D A.x a/2 .x b/2 ; where A is a
constant. When mulitplied out, the coefficient of x 4 in u is A. Therefore u.iv/ D 24A, and
according to the Euler-Lagrange equation, we must have 48HACg D 0, or A D g=48H:
Consequently, the solution is
g
u.x/ D .x a/2 .x b/2 :
48A
4.5.3. The isoperimetric problem
We have already solved one version of this problem in Section 4.3.2. Here we will
take another look at it. We will look at open sets   R2 with connected, C 2 boundaries
of length l, and we want to find those with maximal area.
Let be the boundary of . is a smooth curve, so we can parametrize it by arc
length. This means we areusing the parametrization x.s/ D .x.s/; y.s// with
(4.5.6) jx0 .s/j2 D x 0 .s/2 C y 0 .s/2 D 1 for 0  x  l:
52 4. VARIATIONAL PROBLEMS WITH CONSTRAINTS

The area of  is given by the line integral

1
Z
AD Œy dx x dy :
2
Using our parametrization this is equal to
Z l
A.x; y/ D y.s/x 0 .s/ x.s/y 0 .s/ ds:
 
0

Thus we want to maximize the functional A subject to the nonholonomic constraint in (4.5.6).
According to Theorem 4.11, x D .x; y/ is an extremal of the functional
Z l
F .x; y/ D y.s/x 0 .s/ x.s/y 0 .s/ C .s/ x 0 .s/2 C y 0 .s/2 ds;


0

for some function .s/. The Lagrangian is F .s; x; y; p; q/ D 12 .yp xq/C.s/ p 2 C q 2 .

The first of the Euler-Lagrange equations is

 
d 1 1 0 d
y C 2x 0 D y C 2x 0 D 0:


y ; or
ds 2 2 ds
Thus there is a constant y0 such that
(4.5.7) y C 2x 0 D y0 :
Using the second Euler-Lagrange equation in a imilar manner we see that there is a constant
x0 such that
(4.5.8) x 2y 0 D x0 :
If we multiply equation (4.5.7) by y 0 and equation (4.5.8) by x 0 and add, we get
d 
x0 /x 0 C .y y0 /y 0 D 0; x0 /2 C .y y0 /2 D 0:

.x or .x
ds
Consequently, there is a constant R2 such that
.x x0 /2 C .y y0 /2 D R2 :
Therefore  is a disk of radius R, and its boundary is a circle of radius R. Since the
length of is l, we must have l D 2R.

4.6. Variational Problems with Variable Endpoints

4.6.1. Variable endpoints
Suppose we have two nonintersecting curves in the plane, 1 defined by f .x; y/ D 0
and 2 defined by g.x; y/ D 0: How do we find the distance between them?
There are several possible approaches, but we want to use the calculus of variations.
To this end we look at functions u.x/, defined for a  x  b with the beginning endpoint
.a; u.a// 2 1 and the final endpoint .b; u.b// 2 2 . The length of u , the graph of u, is
Z bp
(4.6.1) L.u/ D a C u0 .x/2 ; dx:
a

We want to find such a u which minimizes L.u/ subject to the condition that the beginning
endpoint .a; u.a// 2 1 and the final endpoint .b; u.b// 2 2 . Thus, we have a variational
problem where the endpoints are allowed to vary with the function.
 4.6. VARIATIONAL PROBLEMS WITH VARIABLE ENDPOINTS 53

The general problem is to find extrema for the functional

Z b
F .u/ D F .x; u.x/; u0 .x// dx;
a

subject to the endpoint conditions .a; u.a// 2 1 and .b; u.b// 2 2 . These endpoint
conditions can be written as
(4.6.2) f .a; u.a// D 0 and g.b; u.b// D 0:
Suppose that u 2 C 2 .Œa; b/ is a local extremum for the problem. If u.a/ D c and
u.b/ D d , then f .a; c/ D 0 and g.b; d / D 0. As we did before we want to vary u by
replacing it with u.x/ C t.x/. However, since we want to allow the endpoints to vary
as well, we do not assume that .x/ D 0 for x near the endpoints a and b. Instead we
will assume that the graph of u C t intersects 1 at a point .˛.t/; .t//, where ˛.0/ D a.
Notice that .˛.t/; .t// 2 1 implies that
(4.6.3) f .˛.t/; .t// D 0 for all small t,
and .˛.t/; .t// 2 uCt  , the graph of u C t, implies that
(4.6.4) u.˛.t// C t.˛.t// D .t/ for all small t.
Doing the same analysis at the other end point, we find that there are functions ˇ.t/ and
ı.t/ such that
(4.6.5) g.ˇ.t/; ı.t/ D 0 for all small t, and
(4.6.6) u.ˇ.t// C t.ˇ.t// D ı.t/ for all small t.
In addition, since u.a/ D c and u.b/ D d , we have
(4.6.7) ˛.0/ D a; ˇ.0/ D b; .0/ D c; and ı.0/ D d:
Notice that if  2 C01 ..a; b//; then
(4.6.8) ˛.t/ D a; ˇ.t/ D b; .t/ D c; and ı.t/ D d for small t.
Now define
Z ˇ.t /
ˆ.t/ D F .u C t/ D F x; u.x/ C t.x/; u0 .x/ C t 0 .x/ dx:


(4.6.9)
˛.t /

Notice the end points on the integral. We are assuming that u is a local extremum for our
problem. Hence t D 0 is an extremum for ˆ, and therefore ˆ0 .0/ D 0. Differentiating ˆ
is somewhat harder now, since t appears in the end point so the integral. However,
ˆ0 .t/ D F ˇ.t/; u.ˇ.t// C t.ˇ.t//; u0 .ˇ.t// C t 0 .ˇ.t// ˇ 0 .t/

F ˛.t/; u.˛.t// C t.˛.t//; u0 .˛.t// C t 0 .˛.t// ˛ 0 .t/

Z ˇ.t /
C Fu x; u C t; u0 C t 0 .x/ C Fp x; u C t; u0 C t 0  0 dx:



˛.t /

At t D 0, we have ˆ0 .0/ D 0, or
0 D F b; u.b/; u0 .b/ ˇ 0 .0/ F a; u.a/; u0 .a/ ˛ 0 .0/

(4.6.10) Z b
C Fu x; u.x/; u0 .x/ .x/ C Fp x; u.x/; u0 .x/  0 .x/ dx:



a
54 4. VARIATIONAL PROBLEMS WITH CONSTRAINTS

Next, we will integrate by parts for the Fp term in the integral. Since we have to take the
end points into account, we get
Z b
Fp x; u.x/; u0 .x/  0 .x/ dx D Fp b; u.b/; u0 .b/ .b/ Fp a; u.a/; u0 .a/ .a/




a
b
d
Z
Fp x; u.x/; u0 .x/ .x/ dx



a dx
Substituting into (4.6.10), this becomes
0 D F b; u.b/; u0 .b/ ˇ 0 .0/ F a; u.a/; u0 .a/ ˛ 0 .0/

C Fp b; u.b/; u0 .b/ .b/ Fp a; u.a/; u0 .a/ .a/

(4.6.11) Z b 
d
C Fu Fp .x/ dx:
a dx
Equation (4.6.11) is true for all  2 C 1 near the interval Œa; b. In particular it is true for
all  2 C01 ..a; b//: In this case, by (4.6.8), all of the boundary terms in (4.6.11) vanish.
Hence we have
Z b 
d
Fu Fp .x/ dx D 0 for all  2 C01 ..a; b//:
a dx
By the fundamnetal lemma of the calculus of variations, we see that
d
(4.6.12) Fu .x; u.x/; u0 .x// Fp .x; u.x/; u0 .x// D 0; for a  x  b.
dx
Equation (4.6.12) will be recognized as the Euler-Lagrange equation for the Lagrangian
F . Thus once more the Euler-Lagrange equation is a necessary condition for u to be a rel-
ative extremum.
However, there is more. If we incorporate the Euler-Lagrange equation into (4.6.11),
that equation becomes
0 D F b; u.b/; u0 .b/ ˇ 0 .0/ F a; u.a/; u0 .a/ ˛ 0 .0/



(4.6.13)
C Fp b; u.b/; u0 .b/ .b/ Fp a; u.a/; u0 .a/ .a/:

This equation is valid for all  2 C 1 .Œa; b/. However, to use it we must compute ˛ 0 .0/
and ˇ 0 .0/. To compute ˛ 0 .0/; we differentiate equations (4.6.3) and (4.6.4) and evaluate at
t D 0 using (4.6.7) to get
fx .a; c/˛ 0 .0/ C fu .a; c/ 0 .0/ D 0 and u0 .a/˛ 0 .0/ C .a/ D 0 .0/:
If we eliminate 0 .0/ from these equations, we have
fx .a; c/ C fu .a; c/u0 .a/ ˛ 0 .0/ D fu .a; c/0 .a/;
 

so
fu .a; c/
˛ 0 .0/ D .a/:
fx .a; c/ C fu .a; c/u0 .a/
In the same way, at the other end point we get
gu .b; d /
ˇ 0 .0/ D .b/:
gx .b; d / C gu .b; d /u0 .b/
 4.6. VARIATIONAL PROBLEMS WITH VARIABLE ENDPOINTS 55

When we incorporate these two equations into (4.6.13), it becomes

 
0 0 gu .b; d /
0 D Fp b; u.b/; u .b/



F b; u.b/; u .b/ .b/
gx .b; d / C gu .b; d /u0 .b/
 
fu .a; c/
Fp a; u.a/; u0 .a/ F a; u.a/; u0 .a/



.a/:
fx .a; c/ C fu .a; c/u0 .a/
Again, this equation is valid for all  2 C 1 .Œa; b/. In particular it is true for .x/ D
A C .B A/.x a/=.b a/ where A and B are arbitrary. Notice that .a/ D A and
.b/ D B are therefore completely arbitrary. Thus both bracketed terms in the previous
equation must vanish, so
fu .a; c/
Fp a; u.a/; u0 .a/ D F a; u.a/; u0 .a/



and
fx .a; c/ C fu .a; c/u0 .a/
(4.6.14)
gu .b; d /
Fp b; u.b/; u0 .b/ D F b; u.b/; u0 .b/



:
gx .b; d / C gu .b; d /u0 .b/
The equations in (4.6.14) are called the transversality conditions.
To sum up, we have shown that if u is a local minimum for the functional
Z b
F .u/ D F .x; u.x/; u0 .x// dx;
a
subject to the endpoint conditions .a; u.a// 2 1 and .b; u.b// 2 2 , then u must satisfy
the Euler-Lagrange equation in (4.6.12) and the transversality conditions in (4.6.14).
Let’s take a closer look at the transversality conditions. The first equation in (4.6.14)
can be written as
(4.6.15) fx Fp C fu .pFp F / D 0:
Notice that rf D .fx ; fu / is perpendicular to the curve 1 . Thus the transversality con-
dition says that the vector quantity .Fp ; pFp F / is tangent to the curve 1 at the first end
point. Similarly, .Fp ; pFp F / is tangent to the curve 2 at the second end point.

4.6.2. Examples
Let’s apply these results to lagrangians of the form
p
F .x; u; p/ D !.x; u/ 1 C p 2 :
We have seen three examples:
p
(1) !.x; u/ D 1: Then F .x; u; p/ D 1 C p 2 us the Lagrangian for the length
functional which
p we studied in Section 2.5.1.
(2) !.x; u/ D 1= 2gm: Then F is the Lagrangian for the brachistochrone, which
we studied in Section 2.5.3.
(3) !.x; u/ D 1=v.x; u/. If v.x; u/ is the speed of light, then F is the Lagrangian
for the Fermat principle for light transmission, which we looked at in Section 2.5.4.
For a Lagrangian of the form in (4.6.15) we compute that
!p !
Fp D p ; and pFp F D p :
1Cp 2 1 C p2
The transversality condition is satisfied at the curve 1 if the vector
!
.Fp ; pFp F / D p .p; 1/
1 C p2
56 4. VARIATIONAL PROBLEMS WITH CONSTRAINTS

is tangent to 1 . Thus we want .u0 .a/ 1/ to be tangent to 1 . Since .u0 .a/; 1/ is

perpendicular to the graph of u defined implicitly by u.x/ y D 0, we conclude that the
transversality condition requires that the graph of the extremal u must be perpendicular to
1 .
In all cases, the Euler-Lagrange equation is unchanged by the new end conditions.
Thus, in case (1), for example, the extremals are straight lines. The extremals joining two
curves 1 and 2 are straight lines which are perpendicular to both lines.
In case (2) the extremals are cycloids. The transversality condition requires the cycloid
to be perpendicular to the limiting curves. For example, if we want the curve of minimal
descent time which starts with u.a/ c and ends at the line x D b, then the graph of u
must be perpendicular to the line. The cycloid has the parametrization
x./ D a C k. sin /; and
c
u./ D c k.1 cos /:
This curve will be perpendicular to x D b for  D 0 if x.0 / D b and u0 .0 / D 0: This
requires 0 D =2, and b D a C k=2.
In case (3), the extremals are the paths of light rays. If the boundary points are re-
stricted to lie on curves, then the paths must be perpendicular to the curves.