Article ID: | iaor20003795 |
Country: | Netherlands |
Volume: | 14 |
Issue: | 1 |
Start Page Number: | 37 |
End Page Number: | 54 |
Publication Date: | Jul 1999 |
Journal: | Computational Optimization and Applications |
Authors: | Friedlander A., Dostl Z., Santos S.A. |
Keywords: | lagrange multipliers |
In this paper we introduce an augmented Lagrangian type algorithm for strictly convex quadratic programming problems with equality constraints. The new feature of the proposed algorithm is the adaptive precision control of the solution of auxiliary problems in the inner loop of the basic algorithm. Global convergence and boundedness of the penalty parameter are proved and an error estimate is given that does not have any term that accounts for the inexact solution of the auxiliary problems. Numerical experiments illustrate efficiency of the algorithm presented.