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The multiplier method of Hestenes and Powell applied to convex programming

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Abstract

For nonlinear programming problems with equality constraints, Hestenes and Powell have independently proposed a dual method of solution in which squares of the constraint functions are added as penalties to the Lagrangian, and a certain simple rule is used for updating the Lagrange multipliers after each cycle. Powell has essentially shown that the rate of convergence is linear if one starts with a sufficiently high penalty factor and sufficiently near to a local solution satisfying the usual second-order sufficient conditions for optimality. This paper furnishes the corresponding method for inequality-constrained problems. Global convergence to an optimal solution is established in the convex case for an arbitrary penalty factor and without the requirement that an exact minimum be calculated at each cycle. Furthermore, the Lagrange multipliers are shown to converge, even though the optimal multipliers may not be unique.

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Authors and Affiliations

  1. Department of Mathematics, University of Washington, Seattle, Washington

    R. T. Rockafellar (Professor)

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  1. R. T. Rockafellar
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Additional information

Communicated by M. R. Hestenes

This work was supported in part by the Air Force Office of Scientific Research under Grant No. AF-AFOSR-72-2269.

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Rockafellar, R.T. The multiplier method of Hestenes and Powell applied to convex programming. J Optim Theory Appl 12, 555–562 (1973). https://doi.org/10.1007/BF00934777

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