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Updating the multipliers associated with inequality constraints in an augmented Lagrangian multiplier method. (English) Zbl 1094.90045

Summary: This paper contributes to the development of the field of augmented Lagrangian multiplier methods for general nonlinear programming by introducing a new update for the multipliers corresponding to inequality constraints. The update maintains naturally the nonnegativity of the multipliers without the need for a positive-orthant projection, as a result of the verification of the first-order necessary conditions for the minimization of a modified augmented Lagrangian penalty function.
In the new multiplier method, the roles of the multipliers are interchanged: the multipliers corresponding to the inequality constraints are updated explicitly, whereas the multipliers corresponding to the equality constraints are approximated implicitly. It is shown that the basic properties of local convergence of the traditional multiplier method are valid also for the proposed method.

MSC:

90C30 Nonlinear programming
49M30 Other numerical methods in calculus of variations (MSC2010)

Software:

LANCELOT; TRICE
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Full Text: DOI

References:

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