Primal Methods

David G. Luenberger and Yinyu Ye
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David G. Luenberger: Stanford University
Yinyu Ye: Stanford University

Chapter Chapter 12 in Linear and Nonlinear Programming, 2021, pp 405-454 from Springer

Abstract: Abstract In this chapter we initiate the presentation, analysis, and comparison of algorithms designed to solve constrained minimization problems. The four chapters that consider such problems roughly correspond to the following classification scheme. Consider a constrained minimization problem having n variables and m constraints. Methods can be devised for solving this problem that work in spaces of dimension n − m, n, m, or n + m. Each of the following chapters corresponds to methods in one of these spaces. Thus, the methods in the different chapters represent quite different approaches and are founded on different aspects of the theory. However, there are also strong interconnections between the methods of the various chapters, both in the final form of implementation and in their performance. Indeed, there soon emerges the theme that the rates of convergence of most practical algorithms are determined by the Lipschitz constants and the structure of the Hessian of the Lagrangian much like the structure of the Hessian of the objective function determines the rates of convergence for a wide assortment of methods for unconstrained problems. Thus, although the various algorithms of these chapters differ substantially in their motivation, they are ultimately found to be governed by a common set of principles.

Date: 2021
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DOI: 10.1007/978-3-030-85450-8_12

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