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Title: Some properties of the augmented Lagrangian in cone constrained optimization
Authors: Shapiro, A.
Sun, J. 
Keywords: Augmented Lagrangian
Cone constraints
Conjugate duality
Duality gap
Lagrange multipliers
Sensitivity analysis
Issue Date: 2004
Citation: Shapiro, A., Sun, J. (2004). Some properties of the augmented Lagrangian in cone constrained optimization. Mathematics of Operations Research 29 (3) : 479-491. ScholarBank@NUS Repository.
Abstract: A large class of optimization problems can be modeled as minimization of an objective function subject to constraints given in a form of set inclusions. In this paper, we discuss augmented Lagrangian duality for such optimization problems. We formulate the augmented Lagrangian dual problems and study conditions ensuring existence of the corresponding augmented Lagrange multipliers. We also discuss sensitivity of optimal solutions to small perturbations of augmented Lagrange multipliers. © 2004 INFORMS.
Source Title: Mathematics of Operations Research
ISSN: 0364765X
DOI: 10.1287/moor.1040.0103
Appears in Collections:Staff Publications

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