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

Autor(es)

Birgin, Ernesto G. ^[1] ; Fernandez, Damian ^[2] ; Martinez, J. M. ^[2]

Afiliação do(s) autor(es)

^[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

• Tipo de documento: Artigo Científico
• Fonte: OPTIMIZATION METHODS & SOFTWARE; v. 27, n. 6, p. 1001-1024, 2012.
• Citações Web of Science: 27

Resumo

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)

• Processo FAPESP: 06/53768-0 - Métodos computacionais de otimização
• Beneficiário: José Mário Martinez Perez
• Modalidade de apoio: Auxílio à Pesquisa - Temático
• Processo FAPESP: 05/02163-8 - Convergência de algoritmos de otimização, condições de otimalidade e qualificação de restrições
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• Processo FAPESP: 08/00062-8 - Programação sequencial quadrática estabilizada e desigualdades variacionais
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