Augmented Lagrangians with adaptive precision control for quadratic programming with equality constraints

Augmented Lagrangians with adaptive precision control for quadratic programming with equality constraints

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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: , ,
Keywords: lagrange multipliers
Abstract:

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.

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