A modified augmented Lagrangian method for a class of constrained problems

Authors:
M. H. B. M. Shariff;J. R. Dormand
Affiliations:
Etisalat College of Engineering P.O. Box 980, Sharjah, United Arab Emirates;School of Computing and Mathematics, University of Teesside, Middlesbrough TS1 3BA, UK
Venue:
Journal of Computational and Applied Mathematics
Year:
2003

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Abstract

A modified augmented Lagrangian method for a class of constrained problems is presented. The class of constraints discussed in this paper are linear equality constraints which, depending on a value of a parameter, are "exactly" or "nearly" satisfied. The proposed iterative method for indefinite systems is suitable for large scale problems, parallel processing and distributed computing. The class of problems is defined and convergent analyses of the method are discussed. A numerical test is done to justify the proposed method.