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An economical method of calculating Lagrange multiplier estimates for nonlinear programming problems when many of the constraints are bounds on the variables

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Abstract

Some recent methods for solving nonlinear programming problems make use of estimates of the Lagrange multipliers. These estimates are usually calculated by solving a system oft linear equations, wheret is the number of active constraints. It is shown that, when a large proportion of the active constraints consists of simple upper or lower bounds on the variables, then computational effort can be saved by means of a reorganization of this linear system.

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References

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Authors and Affiliations

  1. Numerical Optimization Centre, The Hatfield Polytechnic, Hatfield, Hertfordshire, England

    M. C. Bartholomew-Biggs (Research Associate)

Authors
  1. M. C. Bartholomew-Biggs
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Communicated by D. F. Lawden

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Bartholomew-Biggs, M.C. An economical method of calculating Lagrange multiplier estimates for nonlinear programming problems when many of the constraints are bounds on the variables. J Optim Theory Appl 21, 235–239 (1977). https://doi.org/10.1007/BF00932523

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  • DOI: https://doi.org/10.1007/BF00932523

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