Re: crucial constrained optimization problem

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Posted by thomas floeck on October 14, 1997 at 04:15:30:

In Reply to: crucial constrained optimization problem posted by Thomas Floeck on October 13, 1997 at 06:37:32:

: Hi networld,

: is there anyone familiar with solving following problem:

: f=min s.t. g>0 by introducing slackvariable s>0 to
: obtain: k=g-s=0 (this approach won't do me any numerical
: harm because of the system being low dimensioned.)

: Due to Rockafellar (augmented Lagrangian):
: f+2*theta*k+rho*k*k=f-theta*theta/rho=min

: with theta and rho being the lagrangemultiplier resp.
: the penaltyparameter.
: The iterative update is then:

: theta^(n+1)=theta^(n)+rho*g^(n)

: Is that right?
: I'd highly apppreciate any kind of help!


: Thom@s

I'd better give you a cite:

Rockafellar, R.T.:
The multiplier method of Hestenes and Powell applied
to convex programming.

J. Opt. Theory, Appl. 12 (1973), 555-562.

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