On the Method of Multipliers for Convex Programming

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13 Scopus citations

Abstract

It is known that the method of multipliers for constrained minimization can be viewed as a fixed stepsize gradient method for solving a certain, dual problem. In this short paper it is shown that for convex programming problems the method converges globally for a wide range of possible stepsizes. This fact is proved for both cases where unconstrained minimization is exact and approximate. The results provide the basis for considering modifications of the basic stepsize of the method of multipliers which are aimed at acceleration of its speed of convergence. A few such modifications are discussed and some computational results are presented relating to a problem in optimal control.

Original languageEnglish (US)
Pages (from-to)385-388
Number of pages4
JournalIEEE Transactions on Automatic Control
Volume20
Issue number3
DOIs
StatePublished - Jun 1975

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications
  • Electrical and Electronic Engineering

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