Penalty and Augmented Lagrangian Methods

Neculai Andrei ()
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Neculai Andrei: Center for Advanced Modeling and Optimization

Chapter 14 in Modern Numerical Nonlinear Optimization, 2022, pp 475-519 from Springer

Abstract: Abstract This chapter introduces two very important concepts in the constrained nonlinear optimization. These are penalty and augmented Lagrangian. Both concepts replace the original problem by a sequence of subproblems in which the constraints are expressed by terms added to the objective function. The penalty concept is implemented in two different methods. The quadratic penalty method adds a multiple of the square of the violation of each constraint to the objective function and solves a sequence of unconstrained optimization subproblems.

Date: 2022
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DOI: 10.1007/978-3-031-08720-2_14

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