Posted by Scott Betts on October 27, 1997 at 10:27:48:
In Reply to: Re: crucial constrained optimization problem posted by thomas floeck on October 14, 1997 at 04:15:30:
: : 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.
I couldn't find anything that looked like it would solve
that kind of problem here at Netlib, but that doesn't mean
it isn't here. The best thing to do would probably be to
break the problem down in more general terms and see if the
codes here will help any.
Hope this helps!
: J. Opt. Theory, Appl. 12 (1973), 555-562.