MULTIPLIER METHODS FOR CONVEX PROGRAMMING.

B. W. Kort; D. P. Bertsekas

doi:10.1109/cdc.1973.269203

MULTIPLIER METHODS FOR CONVEX PROGRAMMING.

B. W. Kort, D. P. Bertsekas

Research output: Contribution to conference › Paper › peer-review

17 Scopus citations

Abstract

A combined primal-dual and penalty method is given for solving the nonlinear programming problem. The algorithm generalizes the ″method of multipliers″ and is applicable to problems with both equality and inequality constraints. the algorithm is defined for a broad class of ″penalized Lagrangians,″ and is shown to be globally convergent when applied to the convex programming problem. The duality aspects are explored, leading to geometrical interpretations of the method and its relationship to generalized Lagrange multipliers. The rate of convergence is given and the method is shown to be superior to ordinary penalty methods.

Original language	English (US)
Pages	428-432
Number of pages	5
DOIs	https://doi.org/10.1109/cdc.1973.269203
State	Published - 1973
Externally published	Yes
Event	IEEE Conf on Decis and Control, incl Symp on Adapt Processes, 12th, Proc, Dec 5-7 1973 - San Diego, CA, USA Duration: Dec 5 1973 → Dec 7 1973

Conference

Conference	IEEE Conf on Decis and Control, incl Symp on Adapt Processes, 12th, Proc, Dec 5-7 1973
City	San Diego, CA, USA
Period	12/5/73 → 12/7/73

ASJC Scopus subject areas

General Engineering

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10.1109/cdc.1973.269203

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abstract = "A combined primal-dual and penalty method is given for solving the nonlinear programming problem. The algorithm generalizes the ″method of multipliers″ and is applicable to problems with both equality and inequality constraints. the algorithm is defined for a broad class of ″penalized Lagrangians,″ and is shown to be globally convergent when applied to the convex programming problem. The duality aspects are explored, leading to geometrical interpretations of the method and its relationship to generalized Lagrange multipliers. The rate of convergence is given and the method is shown to be superior to ordinary penalty methods.",

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year = "1973",

doi = "10.1109/cdc.1973.269203",

language = "English (US)",

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note = "IEEE Conf on Decis and Control, incl Symp on Adapt Processes, 12th, Proc, Dec 5-7 1973 ; Conference date: 05-12-1973 Through 07-12-1973",

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AU - Bertsekas, D. P.

PY - 1973

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AB - A combined primal-dual and penalty method is given for solving the nonlinear programming problem. The algorithm generalizes the ″method of multipliers″ and is applicable to problems with both equality and inequality constraints. the algorithm is defined for a broad class of ″penalized Lagrangians,″ and is shown to be globally convergent when applied to the convex programming problem. The duality aspects are explored, leading to geometrical interpretations of the method and its relationship to generalized Lagrange multipliers. The rate of convergence is given and the method is shown to be superior to ordinary penalty methods.

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Y2 - 5 December 1973 through 7 December 1973

ER -

MULTIPLIER METHODS FOR CONVEX PROGRAMMING.

Abstract

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