New Lagrangian Multiplier Method with NCP Function
Youlin Shang, Lifang Wang, Min Zhou
Abstract
Youlin Shang, Lifang Wang, Min Zhou
Abstract
A new augmented Lagrangian Multiplier method with nonlinear complementarity problem (NCP) function and a Lagrangian multiplier method are proposed for the minimization of equation and inequality constraints. This method is based on the solutions of the unconstrained optimization which is a reformulation of the primal constrained problem. The global convergence can also be obtained under mild conditions.
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A new augmented Lagrangian Multiplier method with nonlinear complementarity problem (NCP) function and a Lagrangian multiplier method are proposed for the minimization of equation and inequality constraints. This method is based on the solutions of the unconstrained optimization which is a reformulation of the primal constrained problem. The global convergence can also be obtained under mild conditions.
Key concepts: Augmented Lagrangian method, Lagrangian, Lagrange multiplier, Multiplier (economics), Minification, Nonlinear complementarity problem, Lagrangian relaxation, Mathematical optimization