A note on the method of multipliers

DOI10.1007/BF00938447MaRDI QIDQ795734zbMATH OpenFDO

Authors Edward Beltrami

Publication date 1985

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00938447

zbMATH Keywords

constrained optimizationLagrange multipliersNewton's methodsecond- order updating formulas

Mathematics Subject Classification ID

Numerical methods based on nonlinear programming (49M37) Numerical mathematical programming methods (65K05) Nonlinear programming (90C30)

Review text

Implementation of the penalty function method for constrained optimization poses numerical difficulties as the penalty parameter increases. To offset this problem, one often resorts to Newton's method. In this note, working in the context of the penalty function method, we establish an intimate connection between the second-order updating formulas which result from Newton's method on the primal problem and Newton's on the dual problem.

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Cites work

• An Adaptive Random Search Algorithm for Constrained Minimization
• An Ideal Penalty Function for Constrained Optimization
• Augmentability in optimization theory
• Diagonalized multiplier methods and quasi-Newton methods for constrained optimization
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Cited in

(7)

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• On Mill's method of concomitant variations
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• Una nota sul metodo dei moltiplicatori
• Hyperbolic penalty function multiplier method
• A Note on the Cone Multiplier

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