A note on exploiting structure when using slack variables
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The authors show how to exploit the structure inherent in the linear algebra for constrained nonlinear optimization problems of the form \[ \underset{x\in \mathbb{R}^n}{\text{minimize}} f(x),\quad\text{subject to}\quad \ell_y\leq c(x)\leq u_y\quad\text{and}\quad \ell_x\leq x\leq u_x, \] when inequality constraints have been converted to equations by adding slack variables and the problem is solved using an augmented Lagrangian method.
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Cited in
(4)- Efficient solution of quadratically constrained quadratic subproblems within the mesh adaptive direct search algorithm
- Numerical experiments with the Lancelot package (Release \(A\)) for large-scale nonlinear optimization
- The use of squared slack variables in nonlinear second-order cone programming
- A globally convergent Lagrangian barrier algorithm for optimization with general inequality constraints and simple bounds
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