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Directors:
Randolph E. Bank
Philip E. Gill
Michael Holst

Administrative Contact:
Terry Le

Office: AP&M 7431
Phone: (858)534-9813
Fax: (858)534-5273
E-mail: tele@ucsd.edu
A path-following primal-dual augmented Lagrangian method for NEP

Fangyao Su
UCSD

Abstract:

A new path-following primal-dual augmented Lagrangian method is proposed for solving nonlinear equality constrained optimization problems (NEP). At each iteration, a Newton-like method is used to solve a perturbed optimality condition that defines a penalty trajectory parameterized by both the penalty parameter and the estimated Lagrange multipliers. We show that this method is globally convergent and has a quadratic convergence rate in the limit. Finally, numerical experiments on problems from the CUTEst test collection are are used to support the theoretical analysis.

Tuesday, May 15, 2018
11:00AM AP&M 2402