COMPUTATION OF LAGRANGE-MULTIPLIER ESTIMATES FOR CONSTRAINED MINIMIZATION

被引：24

作者：

GILL, PE

MURRAY, W

机构：

[1] National Physical Laboratory, Teddington, Middlesex

来源：

MATHEMATICAL PROGRAMMING | 1979年 / 17卷 / 01期

关键词：

Augmented Lagrangian Functions; Lagrange Multipliers; Linearly-Constrained Optimization; Projected Lagrangian Methods; Quadratic Sub Problems;

D O I：

10.1007/BF01588224

中图分类号：

TP31 [计算机软件];

学科分类号：

081202 ; 0835 ;

摘要：

Almost all efficient algorithms for constrained optimization require the repeated computation of Lagrange-multiplier estimates. In this paper we consider the difficulties in providing accurate estimates and what tests can be made in order to check the validity of the estimates obtained. A variety of formulae for the estimation of Lagrange multipliers are derived and their respective merits discussed. Finally the role of Lagrange multipliers within optimization algorithms is discussed and in addition to other results, it is shown that some algorithms are particularly sensitive to errors in the estimates. © 1979 North-Holland Publishing Company.

引用

页码：32 / 60

页数：29

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