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A Primal-Dual Augmented Lagrangian

Abstract:

Nonlinearly constrained optimization problems can be solved by minimizing a sequence of simpler unconstrained or linearly constrained subproblems. In this paper, we discuss the formulation of subproblems in which the objective is a primal-dual generalization of the Hestenes-Powell augmented Lagrangian function. This generalization has the crucial feature that it is minimized with respect to both the primal and the dual variables simultaneously. A benefit of this approach is that the quality o...

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Publication date:
2008-05-05
URN:
uuid:e2f7b74a-ec49-4672-81cf-ff9c30d8ebdd
Local pid:
oai:eprints.maths.ox.ac.uk:1075

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