Practical Augmented Lagrangian Methods for Constrained Optimization

E. G. Birgin and J. M. Martínez

E. G. Birgin and J. M. Martínez, Practical Augmented Lagrangian Methods for Constrained Optimization, SIAM, Philadelphia, 2014.

This book focuses on Augmented Lagrangian techniques for solving practical constrained optimization problems. The authors rigorously delineate mathematical convergence theory based on sequential optimality conditions and novel constraint qualifications; orient the book to practitioners by giving priority to results that provide insight on the practical behavior of algorithms and by providing geometrical and algorithmic interpretations of every mathematical result; and fully describe a freely available computational package for constrained optimization and illustrate its usefulness with applications.

Audience This book is aimed at engineers, physicists, chemists, and other practitioners interested in full access to comprehensive and well-documented software for large-scale optimization as well as up-to-date convergence theory and its practical consequences. It will also be of interest to graduate and advanced undergraduate students in mathematics, computer science, applied mathematics, optimization, and numerical analysis.