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LANS Informal Seminar: Sven Leyffer
September 24, 2013 @ 15:00 CDT
Seminar Title: The Return of the Augmented Lagrangian
Speaker: Sven Leyffer, Computational Mathematician – Mathematics and Computer Science Division
Date/Time: 2013-09-24 15:00
Location: Building 240 Room 4301
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.