An augmented Lagrangian trust region method for equality constrained optimization

doi:10.1080/10556788.2014.940947

	An augmented Lagrangian trust region method for equality constrained optimization
	Wang, Xiao 1; Yuan, Yaxiang2
	2015-06-01
发表期刊	OPTIMIZATION METHODS & SOFTWARE
ISSN	1055-6788
卷号	30 期号:3 页码:559-582
摘要	In this paper we propose an augmented Lagrangian trust region method for equality constrained optimization. Different from standard augmented Lagrangian methods which minimize the augmented Lagrangian function for fixed Lagrange multiplier and penalty parameter at each iteration, the proposed method tries to minimize its second-order approximation function. We propose a new strategy for adjusting the penalty parameter. With adaptive update of Lagrange multipliers, we prove the global convergence of the proposed method. Numerical results on test problems from the CUTEr collection are also reported.
关键词	equality constraints augmented Lagrangian function trust region Lagrange multiplier penalty parameter convergence
DOI	10.1080/10556788.2014.940947
语种	英语
资助项目	UCAS[Y35101AY00] ; NSFC[11301505] ; NSFC[11331012] ; [119103S175]
WOS研究方向	Computer Science ; Operations Research & Management Science ; Mathematics
WOS类目	Computer Science, Software Engineering ; Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000356936400008
出版者	TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/20152
专题	计算数学与科学工程计算研究所
通讯作者	Wang, Xiao
作者单位	1.Univ Chinese Acad Sci, Sch Math Sci, Beijing, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, State Key Lab Sci & Engn Comp, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Wang, Xiao,Yuan, Yaxiang. An augmented Lagrangian trust region method for equality constrained optimization[J]. OPTIMIZATION METHODS & SOFTWARE,2015,30(3):559-582.
APA	Wang, Xiao,&Yuan, Yaxiang.(2015).An augmented Lagrangian trust region method for equality constrained optimization.OPTIMIZATION METHODS & SOFTWARE,30(3),559-582.
MLA	Wang, Xiao,et al."An augmented Lagrangian trust region method for equality constrained optimization".OPTIMIZATION METHODS & SOFTWARE 30.3(2015):559-582.