Article ID: | iaor20061420 |
Country: | United States |
Volume: | 30 |
Issue: | 4 |
Start Page Number: | 897 |
End Page Number: | 915 |
Publication Date: | Nov 2005 |
Journal: | Mathematics of Operations Research |
Authors: | Lucidi Stefano, Pillo Gianni Di, Palagi Laura |
Keywords: | duality |
We define a primal–dual algorithm model (second-order Lagrangian algorithm, SOLA) for inequality constrained optimization problems that generates a sequence converging to points satisfying the second-order necessary conditions for optimality. This property can be enforced by combining the equivalence between the original constrained problem and the unconstrained minimization of an exact augmented Lagrangian function and the use of a curvilinear line search technique that exploits information on the nonconvexity of the augmented Lagrangian function.