Augmented Lagrangian method

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; the difference is that 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 much in the 1970s and 1980s as a good alternative to penalty methods. It was first discussed by Magnus Hestenes and then by Michael Powell in 1969. 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, together with extensions involving nonquadratic regularization functions, such as entropic regularization. This combined study gives rise to the "exponential method of multipliers," a method that 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 have proven complexity results via the theory of self-concordant functions. The augmented Lagrangian method was rejuvenated by the optimization systems LANCELOT, ALGENCAN 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.