Maxima Manual: 42. augmented_lagrangian

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# 42. augmented_lagrangian

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## 42.1 Functions and Variables for augmented_lagrangian

Function: augmented_lagrangian_method (FOM, xx, C, yy)
Function: augmented_lagrangian_method (FOM, xx, C, yy, optional_args)

  Returns an approximate minimum of the expression FOM with respect to the variables xx, holding the constraints C equal to zero. yy is a list of initial guesses for xx. The method employed is the augmented Lagrangian method (see Refs [1] and [2]).

  `optional_args` represents additional arguments, specified as `symbol = value`. The optional arguments recognized are:

  `niter`

    Number of iterations of the augmented Lagrangian algorithm

  `lbfgs_tolerance`

    Tolerance supplied to LBFGS

  `iprint`

    IPRINT parameter (a list of two integers which controls verbosity) supplied to LBFGS

  `%lambda`

    Initial value of `%lambda` to be used for calculating the augmented Lagrangian

  This implementation minimizes the augmented Lagrangian by applying the limited-memory BFGS (LBFGS) algorithm, which is a quasi-Newton algorithm.

  `load(augmented_lagrangian)` loads this function.

  See also `lbfgs`.

  References:

  [1] http://www-fp.mcs.anl.gov/otc/Guide/OptWeb/continuous/constrained/nonlinearcon/auglag.html

  [2] http://www.cs.ubc.ca/spider/ascher/542/chap10.pdf

  Example:

      (%i1) load (lbfgs);
      (%o1)     /maxima/share/lbfgs/lbfgs.mac
      (%i2) load (augmented_lagrangian);
      (%o2)
         /maxima/share/contrib/augmented_lagrangian.mac
      (%i3) FOM: x^2 + 2*y^2;
                                     2    2
      (%o3)                       2 y  + x
      (%i4) xx: [x, y];
      (%o4)                        [x, y]
      (%i5) C: [x + y - 1];
      (%o5)                      [y + x - 1]
      (%i6) yy: [1, 1];
      (%o6)                        [1, 1]
      (%i7) augmented_lagrangian_method(FOM, xx, C, yy, iprint=[-1,0]);
      (%o7) [[x = 0.66665984108002, y = 0.33334027245545],
                                       %lambda = [- 1.333337940892525]]

  Categories: Numerical methods · Share packages · Package augmented_lagrangian

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