Optimization: principles and algorithms, by Michel Bierlaire
augmentedLagrangian.m File Reference

Algorithm 19.1: augmented Lagrangian algorithm. More...

Go to the source code of this file.

Functions

function augmentedLagrangian (in problem, in x0, in lambda0, in eps, in maxiter)
Applies the augmented Lagrangian method to solve

subject to

where and . More...

Detailed Description

Algorithm 19.1: augmented Lagrangian algorithm.

Implementation of algorithm 19.1 of [1]

Note
Tested with run1905.m
Tested with run1906.m
Date
Mon Mar 23 15:45:36 2015

Definition in file augmentedLagrangian.m.

Function Documentation

 function augmentedLagrangian ( in problem, in x0, in lambda0, in eps, in maxiter )

Applies the augmented Lagrangian method to solve

subject to

where and .

Parameters
 problem the name of the Octave function defining f(x), h(x) and their derivatives. The funtion has two arguments: x and index. If index=0, the objective function and its derivatives are evaluated. If index= , the constraint and its derivtives are evaluated. x0 starting primal point (nx1) lambda0 starting dual point (mx1) eps algorithm stops if and . maxiter maximum number of iterations (default: 100)
Returns
[solution,lambda]
x: primal solution
lambda: dual solution