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Persistent URL http://purl.org/net/epubs/work/12165088
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Record Id 12165088
Title Convergence properties of an augmented Lagrangian algorithm for optimization with a combination of general equality and linear constraints
Abstract We consider the global and local convergence properties of a class of augmented Lagrangian methods for solving nonlinear programming problems. In these methods, linear and more general constraints are handled in different ways. The general constraints are combined with the objective function in an augmented Lagrangian. The iteration consists of solving a sequence of subproblems; in each subproblem the augmented Lagrangian is approximately minimized in the region defined by the linear: constraints. A subproblem is terminated as soon as a stopping condition is satisfied, The stopping rules that we consider here encompass practical tests used in several existing packages for linearly constrained optimization. Our algorithm also allows different penalty parameters to be associated with disjoint subsets of the general constraints. In this paper, we analyze the convergence of the sequence of iterates generated bg such an algorithm and prove global and fast linear convergence as well as show that potentially troublesome penalty parameters remain bounded away from zero.
Organisation CCLRC , CSE
Keywords linear constraints; , constrained optimization; , convergence theory , augmented Lagrangian methods;
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Language English (EN)
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Journal Article SIAM J Optimiz 6, no. 3 (1996): 674-703. http://dx.doi.org…37/S1052623493251463 1996