最优化-lec10-penalty Introduction 最优化理论与方法课件（英文版－南京大学）.pptVIP

Multiplier-Based Methods The ill conditioning of penalty methods can be ameliorated by including multipliers explicitly in the penalty function. Of course, multipliers appear in the context of the classical penalty method, but in that case they are a by-product of the method. For example, in classical penalty method, the multiplier estimate is where g is the vector of constraint functions. These multiplier estimates are used in termination tests in sensitivity analysis in a more active way to derive an optimization algorithm Multiplier-Based Methods Examining problems of the form augmented Lagrangian method Multiplier-Based Methods – Algorithm A simple augmented-Lagrangian method has the following form: Multiplier-Based Methods Comments on the final step requires. The algorithm will terminate when Multiplier-Based Methods – Example The augmented-Lagrangian function is Multiplier-Based Methods – Example At the initial point Multiplier-Based Methods – Example Use Newton’s method to solve the unconstrained subproblem. Multiplier-Based Methods Some basic properties of the augmented-Lagrangian function: This shows that the objective function and the augmented-Lagrangian function have the same value at the solution. Hence the gradient of the augmented-Lagrangian is equal to the gradient of the Lagrangian, and vanishes at the solution. Multiplier-Based Methods A multiplier-based method can also be derived for problems with inequality constraints Then the multipliers are updated using Multiplier-Based Methods In the barrier method, every estimate of the solution has to be strictly feasible so that the logarithmic barrier term can be evaluated. The modified barrier function has many of the same properties as the augmented-Lagrangian function. * * * * Introduction The general class of penalization methods includes two groups of methods: One group imposes a penalty for violating a constraint; The other imposes a penalty for reaching the boundary of an in