Properties of updating methods for the multipliers in augmented Lagrangians

  • S. T. Glad
Contributed Papers

DOI: 10.1007/BF00933239

Cite this article as:
Glad, S.T. J Optim Theory Appl (1979) 28: 135. doi:10.1007/BF00933239

Abstract

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.

Key Words

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

© Plenum Publishing Corporation 1979

Authors and Affiliations

  • S. T. Glad
    • 1
  1. 1.Department of Automatic ControlUniversity of LundLundSweden

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