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Multiplier and gradient methods

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Abstract

The main purpose of this paper is to suggest a method for finding the minimum of a functionf(x) subject to the constraintg(x)=0. The method consists of replacingf byF=f+λg+1/2cg 2, wherec is a suitably large constant, and computing the appropriate value of the Lagrange multiplier. Only the simplest algorithm is presented. The remaining part of the paper is devoted to a survey of known methods for finding unconstrained minima, with special emphasis on the various gradient techniques that are available. This includes Newton's method and the method of conjugate gradients.

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References

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The preparation of this paper was sponsored by the U.S. Army Research Office, Grant No. DA-31-124-ARO(D)-355. This paper was presented at the Second International Conference on Computing Methods in Optimization Problems, San Remo, Italy, 1968.

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Hestenes, M.R. Multiplier and gradient methods. J Optim Theory Appl 4, 303–320 (1969). https://doi.org/10.1007/BF00927673

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  • DOI: https://doi.org/10.1007/BF00927673

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