This article is cited in 6 papers

On the limiting properties of dual trajectories in the Lagrange multipliers method

A. F. Izmailov

Faculty of Computational Mathematics and Cybernetics, Moscow State University, Moscow, 119991 Russia

Abstract: For the method of Lagrange multipliers (i.e., augmented Lagrangians), possible and typical scenarios for the asymptotic behavior of dual trajectories are examined in the case where the Lagrange multiplier is nonunique. The influence of these scenarios on the convergence rate is also investigated.

Key words: mathematical programming problem, augmented Lagrangian, method of multipliers, superlinear convergence, critical Lagrange multiplier.

UDC: 519.926

Received: 09.08.2010

 English version: Computational Mathematics and Mathematical Physics, 2011, 51:1, 1–20

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