An augmented Lagrangian method exploiting an active-set strategy and second-order information
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Publication:2139257
DOI10.1007/S10957-022-02003-4zbMATH Open1492.90170arXiv2104.15018OpenAlexW3210979610MaRDI QIDQ2139257FDOQ2139257
Giampaolo Liuzzi, Andrea Cristofari, Stefano Lucidi, Gianni Di Pillo
Publication date: 17 May 2022
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Abstract: In this paper, we consider nonlinear optimization problems with nonlinear equality constraints and bound constraints on the variables. For the solution of such problems, many augmented Lagrangian methods have been defined in the literature. Here, we propose to modify one of these algorithms, namely ALGENCAN by Andreani et al., in such a way to incorporate second-order information into the augmented Lagrangian framework, using an active-set strategy. We show that the overall algorithm has the same convergence properties as ALGENCAN and an asymptotic quadratic convergence rate under suitable assumptions. The numerical results confirm that the proposed algorithm is a viable alternative to ALGENCAN with greater robustness.
Full work available at URL: https://arxiv.org/abs/2104.15018
constrained optimizationaugmented Lagrangian methodslarge-scale optimizationnonlinear programming algorithms
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Uses Software
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