Augmented Lagrangians with Adaptive Precision Control forQuadratic Programming with Equality Constraints

Authors:
Z. Dostál;A. Friedlander;S. A. Santos
Affiliations:
VŠB-Technical University Ostrava, Tř 17 listopadu, CZ-70833 Ostrava, Czech Republic. Zdenek.Dostal@vsb.cz;Department of Applied Mathematics, IMECC-UNICAMP, University of Campinas, CP 6065, 13081-970 Campinas SP, Brazil. friedlan@ime.unicamp.br;Department of Mathematics, IMECC-UNICAMP, University of Campinas, CP 6065, 13081-970 Campinas SP, Brazil. sandra@ime.unicamp.br
Venue:
Computational Optimization and Applications
Year:
1999

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Abstract

In this paper we introduce an augmented Lagrangian type algorithm forstrictly convex quadratic programming problems with equalityconstraints. The new feature of the proposed algorithm is theadaptive precision control of the solution of auxiliary problems inthe inner loop of the basic algorithm. Global convergence andboundedness of the penalty parameter are proved and an error estimateis given that does not have any term that accounts for the inexactsolution of the auxiliary problems. Numerical experimentsillustrate efficiency of the algorithm presented