Charles University Chapter of SIAM

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Karel Tůma - Augmented Lagrangian method: inequality constraints

Kdy: 06/04/2017 09:00 - 06/04/2017 10:40
Kde: seminárka KNM (Karlín)
Karel Tůma - Augmented Lagrangian method: inequality constraints

Abstrakt:
In this talk we show how to deal with minimization of the function that is subject to the inequality constraint by using augmented Lagrangian method that leads to an unconstrained saddle point problem. Furthermore, we show that the double-side constraint can be enforced using a single Lagrange multiplier and that the standard augmented Lagrangian formulation for two unknowns - the state variable and the Lagrange multiplier - can be transformed into a cheaper problem for only one universal variable.