A Quadratically Convergent Primal-Dual Algorithm with Global Convergence Properties for Solving Optimization Problems with Equality Constraints.

摘要

This paper presents a globally convergent multiplier method which utilizes an explicit formula for the multiplier. The algorithm solves finite dimensional optimization problems with equality constraints. A unique feature of the algorithm is that it automatically calculates a value for the penalty coefficient, which, under certain assumptions, leads to global convergence. (Author)