Attraction of Newton method to critical Lagrange multipliers: fully quadratic case (Q494312)

Critical multipliers are special Lagrange multipliers for which the reduced Hessian of the Lagrangian is singular, therefore some very special multipliers. The present paper presents an analysis of the dual behavior of the Newton-Lagrange method applied to fully quadratic optimization problem with equality constraints. It is shown that, under some standard mathematical conditions, the set of critical multipliers is characterized by a primal-dual domain of attraction. When the sequence of iteration enters this domain, the primal sequence converges to zero in a linear manner, while the dual sequence linearly converges towards a critical multiplier.