Class of algorithms for solving constrained optimization problems
Augmented Lagrangian methods are a certain class of algorithms for solving constrained optimization problems. They have similarities to penalty methods in that they replace a constrained optimization problem by a series of unconstrained problems and add a penalty term to the objective, but the augmented Lagrangian method adds yet another term designed to mimic a Lagrange multiplier. The augmented Lagrangian is related to, but not identical with, the method of Lagrange multipliers.
Viewed differently, the unconstrained objective is the Lagrangian of the constrained problem, with an additional penalty term (the augmentation).
The method was originally known as the method of multipliers and was studied in the 1970s and 1980s as a potential alternative to penalty methods. It was first discussed by Magnus Hestenes[1] and then by Michael Powell in 1969.[2] The method was studied by R. Tyrrell Rockafellar in relation to Fenchel duality, particularly in relation to proximal-point methods, Moreau–Yosida regularization, and maximal monotone operators; these methods were used in structural optimization. The method was also studied by Dimitri Bertsekas, notably in his 1982 book,[3] together with extensions involving non-quadratic regularization functions (e.g., entropic regularization). This combined study gives rise to the "exponential method of multipliers" which handles inequality constraints with a twice-differentiable augmented Lagrangian function.
Since the 1970s, sequential quadratic programming (SQP) and interior point methods (IPM) have been given more attention, in part because they more easily use sparse matrix subroutines from numerical software libraries, and in part because IPMs possess proven complexity results via the theory of self-concordant functions. The augmented Lagrangian method was rejuvenated by the optimization systems LANCELOT, ALGENCAN[4][5] and AMPL, which allowed sparse matrix techniques to be used on seemingly dense but "partially-separable" problems. The method is still useful for some problems.[6]
Around 2007, there was a resurgence of augmented Lagrangian methods in fields such as total variation denoising and compressed sensing. In particular, a variant of the standard augmented Lagrangian method that uses partial updates (similar to the Gauss–Seidel method for solving linear equations) known as the alternating direction method of multipliers or ADMM gained some attention.
^Hestenes, M. R. (1969). "Multiplier and gradient methods". Journal of Optimization Theory and Applications. 4 (5): 303–320. doi:10.1007/BF00927673. S2CID 121584579.
^Powell, M. J. D. (1969). "A method for nonlinear constraints in minimization problems". In Fletcher, R. (ed.). Optimization. New York: Academic Press. pp. 283–298. ISBN 0-12-260650-7.
^Bertsekas, Dimitri P. (1996) [1982]. Constrained optimization and Lagrange multiplier methods. Athena Scientific.
^Andreani, R.; Birgin, E. G.; Martínez, J. M.; Schuverdt, M. L. (2007). "On Augmented Lagrangian Methods with General Lower-Level Constraints". SIAM Journal on Optimization. 18 (4): 1286–1309. doi:10.1137/060654797. S2CID 1218538.
^Birgin & Martínez (2014)
^Nocedal & Wright (2006), chapter 17
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