On the Boundedness of Penalty Parameters in an Augmented Lagrangian Method with Constrained Subproblems (2011)
| Citations: | 3 - 1 self |
BibTeX
@MISC{Birgin11onthe,
author = {Ernesto G. Birgin and et al.},
title = {On the Boundedness of Penalty Parameters in an Augmented Lagrangian Method with Constrained Subproblems },
year = {2011}
}
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Abstract
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 the subproblem is difficult, therefore the effectiveness of this approach is associated with boundedness of penalty parameters. In this paper it is proved that, under more natural assumptions than the ones up to now employed, 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.
