This article is cited in 1 paper

Multiplier methods for optimization problems with Lipschitzian derivatives

A. F. Izmailov, A. S. Kurennoy

M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics

Abstract: Optimization problems for which the objective function and the constraints have locally Lipschitzian derivatives but are not assumed to be twice differentiable are examined. For such problems, analyses of the local convergence and the convergence rate of the multiplier (or the augmented Lagrangian) method and the linearly constraint Lagrangian method are given.

Key words: mathematical programming problem, augmented Lagrangian, multiplier method, linearized constraints, Newtonian iterative scheme.

UDC: 519.626

Received: 30.05.2012

 English version: Computational Mathematics and Mathematical Physics, 2012, 52:12, 1603–1611

Bibliographic databases:

• 
• 
• 
• 
• 
• 
•