On Lagrange multipliers of constrained optimization in Hilbert spaces
Fuente:
arXiv
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| Formato: | Preprint |
| Publicado: |
2023
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| _version_ | 1866911504800940032 |
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| author | Tan, Zhiyu |
| author_facet | Tan, Zhiyu |
| contents | In this paper we introduce the essential Lagrange multiplier and establish the solid mathematical foundation of constrained optimization in Hilbert spaces with sharp results on the mathematical foundation of quadratic-programming based methods such as the SQP method, the necessary and sufficient conditions for the existence and uniqueness of Lagrange multipliers, the essential difference of the theory of Lagrange multipliers in finite and infinite-dimensional spaces and an essential characterization of the convergence of the classical augmented Lagrangian method. They are achieved by a newly developed decomposition framework for Lagrange multipliers of the Karush-Kuhn-Tucker system of constrained optimization problems in Hilbert spaces, which is totally different from the existing theories based on separation theorems. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2306_03261 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | On Lagrange multipliers of constrained optimization in Hilbert spaces Tan, Zhiyu Optimization and Control 46N10, 49J27, 90C25, 90C46, 90C48 In this paper we introduce the essential Lagrange multiplier and establish the solid mathematical foundation of constrained optimization in Hilbert spaces with sharp results on the mathematical foundation of quadratic-programming based methods such as the SQP method, the necessary and sufficient conditions for the existence and uniqueness of Lagrange multipliers, the essential difference of the theory of Lagrange multipliers in finite and infinite-dimensional spaces and an essential characterization of the convergence of the classical augmented Lagrangian method. They are achieved by a newly developed decomposition framework for Lagrange multipliers of the Karush-Kuhn-Tucker system of constrained optimization problems in Hilbert spaces, which is totally different from the existing theories based on separation theorems. |
| title | On Lagrange multipliers of constrained optimization in Hilbert spaces |
| topic | Optimization and Control 46N10, 49J27, 90C25, 90C46, 90C48 |
| url | https://arxiv.org/abs/2306.03261 |