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Multiplier methods for optimization problems with Lipschitzian derivatives

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Abstract

Optimization problems for which the objective function and the constraints have locally Lipschitzian derivatives but are not assumed to be twice differentiable are examined. For such problems, analyses of the local convergence and the convergence rate of the multiplier (or the augmented Lagrangian) method and the linearly constraint Lagrangian method are given.

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Authors and Affiliations

  1. Faculty of Computational Mathematics and Cybernetics, Moscow State University, Moscow, 119992, Russia

    A. F. Izmailov & A. S. Kurennoy

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  1. A. F. Izmailov
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  2. A. S. Kurennoy
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Correspondence to A. F. Izmailov.

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Original Russian Text © A.F. Izmailov, A.S. Kurennoy, 2012, published in Zhurnal Vychislitel’noi Matematiki i Matematicheskoi Fiziki, 2012, Vol. 52, No. 12, pp. 2140–2148.

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Izmailov, A.F., Kurennoy, A.S. Multiplier methods for optimization problems with Lipschitzian derivatives. Comput. Math. and Math. Phys. 52, 1603–1611 (2012). https://doi.org/10.1134/S0965542512120081

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