TY - JOUR
T1 - Modified Lagrange multiplier method and its convergence analysis
AU - Huang, Yuan Can
PY - 2008/4
Y1 - 2008/4
N2 - By redefining multiplier associated with inequality constraint as a positive definite function of the originally-defined multiplier, nonnegative constraint imposed on inequality constraints in Karush-Kuhn-Tucker necessary conditions is removed, and a modified Lagrange multiplier method, which may handle inequality constraints directly, is constructed. Then its convergence is analyzed rigorously. By using LaSalle invariance principle, the underlying mechanism that attains the algorithmic convergence is uncovered. Some measures for relaxing the convergence conditions and enlarging the attractive domain are discussed.
AB - By redefining multiplier associated with inequality constraint as a positive definite function of the originally-defined multiplier, nonnegative constraint imposed on inequality constraints in Karush-Kuhn-Tucker necessary conditions is removed, and a modified Lagrange multiplier method, which may handle inequality constraints directly, is constructed. Then its convergence is analyzed rigorously. By using LaSalle invariance principle, the underlying mechanism that attains the algorithmic convergence is uncovered. Some measures for relaxing the convergence conditions and enlarging the attractive domain are discussed.
KW - Convergence
KW - Inequality constraints
KW - LaSalle invariance principle
KW - Lagrange multiplier method
KW - Nonlinear programming
UR - http://www.scopus.com/inward/record.url?scp=44249098993&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:44249098993
SN - 1001-0920
VL - 23
SP - 409
EP - 414
JO - Kongzhi yu Juece/Control and Decision
JF - Kongzhi yu Juece/Control and Decision
IS - 4
ER -