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!

: TIA

: 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.

- Re: crucial constrained optimization problem
**Scott Betts***10:27:48 10/27/97*(0)