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On the convergence properties of second-order multiplier methods

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Abstract

The purpose of this note is to provide some estimates relating to Newton-type methods of multipliers. These estimates can be used to infer that convergence in such methods can be achieved for an arbitrary choice of the initial multiplier vector by selecting the penalty parameter sufficiently large.

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References

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Authors and Affiliations

  1. Department of Electrical Engineering and Coordinated Science Laboratory, University of Illinois, Urbana, Illinois

    D. P. Bertsekas (Associate Professor)

Authors
  1. D. P. Bertsekas
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Additional information

Communicated by O. L. Mangasarian

This work was supported by Grant No. NSF ENG 74-19332.

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Bertsekas, D.P. On the convergence properties of second-order multiplier methods. J Optim Theory Appl 25, 443–449 (1978). https://doi.org/10.1007/BF00932905

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  • DOI: https://doi.org/10.1007/BF00932905

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