Some properties of the augmented Lagrangian in cone constrained optimization

Some properties of the augmented Lagrangian in cone constrained optimization

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Article ID: iaor20072592
Country: United States
Volume: 29
Issue: 3
Start Page Number: 479
End Page Number: 491
Publication Date: Aug 2004
Journal: Mathematics of Operations Research
Authors: ,
Keywords: duality, Lagrangean methods
Abstract:

A large class of optimization problems can be modeled as minimization of an objective function subject to constraints given in a form of set inclusions. In this paper, we discuss augmented Lagrangian duality for such optimization problems. We formulate the augmented Lagrangian dual problems and study conditions ensuring existence of the corresponding augmented Lagrange multipliers. We also discuss sensitivity of optimal solutions to small perturbations of augmented Lagrange multipliers.

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