Seminar Details:

LANS Informal Seminar
"The Return of the Augmented Lagrangian"

DATE: September 24, 2013

TIME: 15:00:00 - 16:00:00
SPEAKER: Sven Leyffer, Computational Mathematician - Mathematics and Computer Science Division
LOCATION: Building 240 Room 4301, Argonne National Laboratory

Description:
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.


 

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