The boundedness of penalty parameters in an augmented Lagrangian method with constrained subproblems

Augmented Lagrangian methods are effective tools for solving large-scale nonlinear programming problems. At each outer iteration, a minimization subproblem with simple constraints, whose objective function depends on updated Lagrange multipliers and penalty parameters, is approximately solved. When...

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Bibliographic Details
Published in:Optimization methods & software Vol. 27; no. 6; pp. 1001 - 1024
Main Authors: Birgin, Ernesto G., Fernández, Damián, Martínez, J. M.
Format: Journal Article
Language:English
Published: Abingdon Taylor & Francis 01.12.2012
Taylor & Francis Ltd
Subjects:
Algorithms
augmented Lagrangian methods
Computer programs
Fines & penalties
Lagrange multipliers
Mathematical analysis
Mathematical models
Nonlinear programming
numerical experiments
Optimization
penalty parameters
Software
Studies
ISSN:1055-6788, 1029-4937
Online Access:Get full text
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Summary:Augmented Lagrangian methods are effective tools for solving large-scale nonlinear programming problems. At each outer iteration, a minimization subproblem with simple constraints, whose objective function depends on updated Lagrange multipliers and penalty parameters, is approximately solved. When the penalty parameter becomes very large, solving the subproblem becomes difficult; therefore, the effectiveness of this approach is associated with the boundedness of the penalty parameters. In this paper, it is proved that under more natural assumptions than the ones employed until now, penalty parameters are bounded. For proving the new boundedness result, the original algorithm has been slightly modified. Numerical consequences of the modifications are discussed and computational experiments are presented.
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ISSN:1055-6788
1029-4937
DOI:10.1080/10556788.2011.556634