Upcoming Events

The Return of the Augmented Lagrangian

September 24, 2013 3:00PM to 4:00PM
Presenter 
Sven Leyffer (MCS), Senior Computational Mathematician
Location 
Building 240, Room 4301
Type 
Seminar
Series 
LANS Informal Seminar
Abstract:
We present a new two-phase augmented Lagrangian filter method that has the potential to exploit scalable parallel subproblem solvers. In the first phase, we approximately minimize the augmented Lagrangian to estimate the optimal active set. In the second phase, we solve an equality-constrained QP. An augmented Lagrangian filter determines the accuracy of the augmented Lagrangian minimization and ensures global convergence. We present a convergence analysis.