ISSN:
1436-4646
Keywords:
Lagrange Multipliers
;
Linearly-Constrained Optimization
;
Augmented Lagrangian Functions
;
Projected Lagrangian Methods
;
Quadratic Sub Problems
Source:
Springer Online Journal Archives 1860-2000
Topics:
Computer Science
,
Mathematics
Notes:
Abstract Almost all efficient algorithms for constrained optimization require the repeated computation of Lagrange-multiplier estimates. In this paper we consider the difficulties in providing accurate estimates and what tests can be made in order to check the validity of the estimates obtained. A variety of formulae for the estimation of Lagrange multipliers are derived and their respective merits discussed. Finally the role of Lagrange multipliers within optimization algorithms is discussed and in addition to other results, it is shown that some algorithms are particularly sensitive to errors in the estimates.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF01588224
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