A robust choice of the Lagrange multipliers in the successive quadratic programming method |
Posted on:1995-05-30 | Degree:Ph.D | Type:Dissertation |
University:Rice University | Candidate:Cores-Carrera, Debora | Full Text:PDF |
GTID:1470390014490547 | Subject:Mathematics |
Abstract/Summary: | |
We study the choice of the Lagrange multipliers in the successive quadratic programming method (SQP) applied to the equality constrained optimization problem.; It is known that the augmented Lagrangian SQP-Newton method depends on the penalty parameter only through the multiplier in the Hessian matrix of the Lagrangian function. This effectively reduces the augmented Lagrangian SQP-Newton method to the Lagrangian SQP Newton method where only the multiplier estimate depends on the penalty parameter. In this work, we construct a multiplier estimate that depends strongly on the penalty parameter and we derive a choice for the penalty parameter so that the Hessian matrix, restricted to the null space of the constraints, is positive definite and well conditioned. We demonstrate that the SQP-Newton method with this choice of Lagrange multipliers is locally and q-quadratically convergent. |
Keywords/Search Tags: | Lagrange multipliers, Method, Choice, Penalty parameter |
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