Convergence properties of an augmented Lagrangian algorithm for optimization with a combination of general equality and linear constraints

A.R. Conn, N. Gould, A. Sartenaer, Ph.L. Toint

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    Abstract

    We consider the global and local convergence properties of a class of augmented Lagrangian methods for solving nonlinear programming problems. In these methods, linear and more general constraints are handled in different ways. The general constraints are combined with the objective function in an augmented Lagrangian. The iteration consists of solving a sequence of subproblems; in each subproblem the augmented Lagrangian is approximately minimized in the region denned by the linear constraints. A subproblem is terminated as soon as a stopping condition is satisfied. The stopping rules that we consider here encompass practical tests used in several existing packages for linearly constrained optimization. Our algorithm also allows different penalty parameters to be associated with disjoint subsets of the general constraints. In this paper, we analyze the convergence of the sequence of iterates generated by such an algorithm and prove global and fast linear convergence as well as show that potentially troublesome penalty parameters remain bounded away from zero.
    Original languageEnglish
    Pages (from-to)674-703
    Number of pages30
    JournalSIAM Journal on Optimization
    Volume6
    Issue number3
    Publication statusPublished - 1 Aug 1996

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