We define a primal-dual algorithm model (second-order Lagrangian algorithm, SOLA) for inequality constrained optimization problems that generates a sequence converging to points satisfying the second-order necessary conditions for optimality. This property can be enforced by combining the equivalence between the original constrained problem and the unconstrained minimization of an exact augmented Lagrangian function and the use of a curvilinear line search technique that exploits information on the non convexity of the augmented Lagrangian function.

Convergence to 2-nd order stationary points of a primal-dual algorithm model for nonlinear programming / DI PILLO, Gianni; Lucidi, Stefano; Palagi, Laura. - In: MATHEMATICS OF OPERATIONS RESEARCH. - ISSN 0364-765X. - STAMPA. - 30:(2005), pp. 897-915. [10.1287/moor.1050.0150]

Convergence to 2-nd order stationary points of a primal-dual algorithm model for nonlinear programming

DI PILLO, Gianni;LUCIDI, Stefano;PALAGI, Laura
2005

Abstract

We define a primal-dual algorithm model (second-order Lagrangian algorithm, SOLA) for inequality constrained optimization problems that generates a sequence converging to points satisfying the second-order necessary conditions for optimality. This property can be enforced by combining the equivalence between the original constrained problem and the unconstrained minimization of an exact augmented Lagrangian function and the use of a curvilinear line search technique that exploits information on the non convexity of the augmented Lagrangian function.
2005
nonlinear programming; primal-dual algorithm; augmented Lagrangian function; second-order stationary point
01 Pubblicazione su rivista::01a Articolo in rivista
Convergence to 2-nd order stationary points of a primal-dual algorithm model for nonlinear programming / DI PILLO, Gianni; Lucidi, Stefano; Palagi, Laura. - In: MATHEMATICS OF OPERATIONS RESEARCH. - ISSN 0364-765X. - STAMPA. - 30:(2005), pp. 897-915. [10.1287/moor.1050.0150]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/240642
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