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An augmented Lagrangian trust region method for equality constrained optimization

文献类型：期刊论文

作者Wang, Xiao1; Yuan, Yaxiang2
刊名OPTIMIZATION METHODS & SOFTWARE
出版日期2015-06-01
卷号30期号:3页码:559-582
关键词equality constraints augmented Lagrangian function trust region Lagrange multiplier penalty parameter convergence
ISSN号1055-6788
DOI10.1080/10556788.2014.940947
英文摘要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.
资助项目UCAS[Y35101AY00] ; NSFC[11301505] ; NSFC[11331012] ; [119103S175]
WOS研究方向Computer Science ; Operations Research & Management Science ; Mathematics
语种英语
WOS记录号WOS:000356936400008
出版者TAYLOR & FRANCIS LTD
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/20151]  
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.

入库方式： OAI收割

来源：数学与系统科学研究院

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