Abstract
Implementation of the penalty function method for constrained optimization poses numerical difficulties as the penalty parameter increases. To offset this problem, one often resorts to Newton's method. In this note, working in the context of the penalty function method, we establish an intimate connection between the second-order updating formulas which result from Newton's method on the primal problem and Newton's method on the dual problem.
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Communicated by R. A. Tapia
The author wishes to thank Professor R. A. Tapia for his careful review of this note. He has contributed significantly to its content through several crucial observations.
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Beltrami, E.J. A note on the method of multipliers. J Optim Theory Appl 45, 477–480 (1985). https://doi.org/10.1007/BF00938447
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DOI: https://doi.org/10.1007/BF00938447