PROPERTIES OF UPDATING METHODS FOR THE MULTIPLIERS IN AUGMENTED LAGRANGIANS

被引：28

作者：

GLAD, ST

机构：

[1] Department of Automatic Control, University of Lund, Lund

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 1979年 / 28卷 / 02期

关键词：

augmented Lagrangians; constrained optimization; Lagrange multipliers; Nonlinear programming; penalty functions; quasi-Newton methods; rate of convergence;

D O I：

10.1007/BF00933239

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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. © 1979 Plenum Publishing Corporation.

引用

页码：135 / 156

页数：22

共 25 条

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