Inexact Semimonotonic Augmented Lagrangians with Optimal Feasibility Convergence for Convex Bound and Equality Constrained Quadratic Programming

@article{Dostl2005InexactSA,
  title={Inexact Semimonotonic Augmented Lagrangians with Optimal Feasibility Convergence for Convex Bound and Equality Constrained Quadratic Programming},
  author={Zdenek Dost{\'a}l},
  journal={SIAM J. Numerical Analysis},
  year={2005},
  volume={43},
  pages={96-115}
}
A variant of the augmented Lagrangian-type algorithm for strictly convex quadratic programming problems with bounds and equality constraints is considered. The algorithm exploits the adaptive precision control in the solution of auxiliary bound constraint problems in the inner loop while the Lagrange multipliers for the equality constraints are updated in the outer loop. The update rule for the penalty parameter is introduced that depends on the increase of the augmented Lagrangian. Global… CONTINUE READING

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