A Globally Convergent Lagrangian Barrier Algorithm for Optimization with General Inequality Constraints and Simple Bounds |
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Authors: | A. R. Conn Nick Gould Ph. L. Toint. |
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Affiliation: | IBM T.J. Watson Research Center, P.O.Box 218, Yorktown Heights, New York 10598 ; Rutherford Appleton Laboratory, Chilton, OX11 0QX, England ; Département de Mathématiques, Facultés Universitaires ND de la Paix, 61, rue de Bruxelles, B-5000 Namur, Belgium |
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Abstract: | We consider the global and local convergence properties of a class of Lagrangian barrier methods for solving nonlinear programming problems. In such methods, simple bound constraints may be treated separately from more general constraints. The objective and general constraint functions are combined in a Lagrangian barrier function. A sequence of such functions are approximately minimized within the domain defined by the simple bounds. Global convergence of the sequence of generated iterates to a first-order stationary point for the original problem is established. Furthermore, possible numerical difficulties associated with barrier function methods are avoided as it is shown that a potentially troublesome penalty parameter is bounded away from zero. This paper is a companion to previous work of ours on augmented Lagrangian methods. |
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Keywords: | Constrained optimization barrier methods inequality constraints convergence theory |
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