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Properties of Updating Methods for the Multipliers in Augmented Lagrangians
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1979 (English)In: Journal of Optimization Theory and Applications, ISSN 0022-3239, E-ISSN 1573-2878, Vol. 28, no 2, 135-156 p.Article in journal (Refereed) Published
Abstract [en]

The convergence properties of different updating methods for the multipliers in augmented Lagrangians are considered. It is assumed that the updating of the multipliers takes place after each line search of a quasi-Newton method. Two of the updating methods are shown to be linearly convergent locally, while a third method has superlinear convergence locally. Modifications of the algorithms to ensure global convergence are considered. The results of a computational comparison with other methods are presented.

Place, publisher, year, edition, pages
Kluwer Academic Publishers, 1979. Vol. 28, no 2, 135-156 p.
Keyword [en]
Nonlinear programming, Constrained optimization, Augmented Lagrangians, Quasi-Newton methods, Rate of convergence, Penalty functions, Lagrange multipliers
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-102121DOI: 10.1007/BF00933239OAI: diva2:668551
Available from: 2013-12-01 Created: 2013-12-01 Last updated: 2013-12-01

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Glad, Torkel
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Automatic ControlThe Institute of Technology
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ReferencesLink to record
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