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(Reference retrieved automatically from Google Scholar through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

The boundedness of penalty parameters in an augmented Lagrangian method with constrained subproblems

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Author(s):
Birgin, Ernesto G. [1] ; Fernandez, Damian [2] ; Martinez, J. M. [2]
Total Authors: 3
Affiliation:
[1] Univ Sao Paulo, Inst Math & Stat, Dept Comp Sci, Sao Paulo - Brazil
[2] Univ Estadual Campinas, Dept Appl Math, Inst Math Stat & Sci Comp, Campinas, SP - Brazil
Total Affiliations: 2
Document type: Journal article
Source: OPTIMIZATION METHODS & SOFTWARE; v. 27, n. 6, p. 1001-1024, 2012.
Web of Science Citations: 27
Abstract

Augmented Lagrangian methods are effective tools for solving large-scale nonlinear programming problems. At each outer iteration, a minimization subproblem with simple constraints, whose objective function depends on updated Lagrange multipliers and penalty parameters, is approximately solved. When the penalty parameter becomes very large, solving the subproblem becomes difficult; therefore, the effectiveness of this approach is associated with the boundedness of the penalty parameters. In this paper, it is proved that under more natural assumptions than the ones employed until now, penalty parameters are bounded. For proving the new boundedness result, the original algorithm has been slightly modified. Numerical consequences of the modifications are discussed and computational experiments are presented. (AU)

FAPESP's process: 06/53768-0 - Computational methods of optimization
Grantee:José Mário Martinez Perez
Support Opportunities: Research Projects - Thematic Grants
FAPESP's process: 08/00062-8 - Stabilized Sequential Quadratic Programming and variational inequalities
Grantee:Damian Roberto Fernandez Ferreyra
Support Opportunities: Scholarships in Brazil - Post-Doctoral