Augumented Lagrangian Method

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How should one choose the initial value of lambda(multiplier) while using Augumented Lagrangian Method for constrained optimization?




optimization convex-optimization numerical-optimization




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  • Do you have a specific class of problems in mind?
    – ertl
    Jul 29 at 0:20










  • Not really, I just want to know, for a general constrained problem, how does the initial value of lambda affect the number of iterations and the solution, Is there any thumb rule to choose initial lambda?
    – Rimple Malik
    Jul 29 at 0:27











  • lets say the problem of optimizing a convex function with some linear constraints.
    – Rimple Malik
    Jul 29 at 0:42







  • 1




    I believe it depends on the problem. If you have a good guess for a compact set where the optimal dual solution must reside, then choose some value there. Otherwise, I would set it to zero.
    – Alex Shtof
    Jul 29 at 8:00










  • What do you mean by optimal dual solution? Can you please suggest some reference that explains concept of optimal dual.
    – Rimple Malik
    Aug 5 at 22:31














up vote
0
down vote

favorite












How should one choose the initial value of lambda(multiplier) while using Augumented Lagrangian Method for constrained optimization?




optimization convex-optimization numerical-optimization




share|cite|improve this question



















  • Do you have a specific class of problems in mind?
    – ertl
    Jul 29 at 0:20










  • Not really, I just want to know, for a general constrained problem, how does the initial value of lambda affect the number of iterations and the solution, Is there any thumb rule to choose initial lambda?
    – Rimple Malik
    Jul 29 at 0:27











  • lets say the problem of optimizing a convex function with some linear constraints.
    – Rimple Malik
    Jul 29 at 0:42







  • 1




    I believe it depends on the problem. If you have a good guess for a compact set where the optimal dual solution must reside, then choose some value there. Otherwise, I would set it to zero.
    – Alex Shtof
    Jul 29 at 8:00










  • What do you mean by optimal dual solution? Can you please suggest some reference that explains concept of optimal dual.
    – Rimple Malik
    Aug 5 at 22:31












up vote
0
down vote

favorite









up vote
0
down vote

favorite











How should one choose the initial value of lambda(multiplier) while using Augumented Lagrangian Method for constrained optimization?




optimization convex-optimization numerical-optimization




share|cite|improve this question











How should one choose the initial value of lambda(multiplier) while using Augumented Lagrangian Method for constrained optimization?





optimization convex-optimization numerical-optimization





share|cite|improve this question










share|cite|improve this question




share|cite|improve this question









asked Jul 29 at 0:17









Rimple Malik

33




33











  • Do you have a specific class of problems in mind?
    – ertl
    Jul 29 at 0:20










  • Not really, I just want to know, for a general constrained problem, how does the initial value of lambda affect the number of iterations and the solution, Is there any thumb rule to choose initial lambda?
    – Rimple Malik
    Jul 29 at 0:27











  • lets say the problem of optimizing a convex function with some linear constraints.
    – Rimple Malik
    Jul 29 at 0:42







  • 1




    I believe it depends on the problem. If you have a good guess for a compact set where the optimal dual solution must reside, then choose some value there. Otherwise, I would set it to zero.
    – Alex Shtof
    Jul 29 at 8:00










  • What do you mean by optimal dual solution? Can you please suggest some reference that explains concept of optimal dual.
    – Rimple Malik
    Aug 5 at 22:31
















  • Do you have a specific class of problems in mind?
    – ertl
    Jul 29 at 0:20










  • Not really, I just want to know, for a general constrained problem, how does the initial value of lambda affect the number of iterations and the solution, Is there any thumb rule to choose initial lambda?
    – Rimple Malik
    Jul 29 at 0:27











  • lets say the problem of optimizing a convex function with some linear constraints.
    – Rimple Malik
    Jul 29 at 0:42







  • 1




    I believe it depends on the problem. If you have a good guess for a compact set where the optimal dual solution must reside, then choose some value there. Otherwise, I would set it to zero.
    – Alex Shtof
    Jul 29 at 8:00










  • What do you mean by optimal dual solution? Can you please suggest some reference that explains concept of optimal dual.
    – Rimple Malik
    Aug 5 at 22:31















Do you have a specific class of problems in mind?
– ertl
Jul 29 at 0:20




Do you have a specific class of problems in mind?
– ertl
Jul 29 at 0:20












Not really, I just want to know, for a general constrained problem, how does the initial value of lambda affect the number of iterations and the solution, Is there any thumb rule to choose initial lambda?
– Rimple Malik
Jul 29 at 0:27





Not really, I just want to know, for a general constrained problem, how does the initial value of lambda affect the number of iterations and the solution, Is there any thumb rule to choose initial lambda?
– Rimple Malik
Jul 29 at 0:27













lets say the problem of optimizing a convex function with some linear constraints.
– Rimple Malik
Jul 29 at 0:42





lets say the problem of optimizing a convex function with some linear constraints.
– Rimple Malik
Jul 29 at 0:42





1




1




I believe it depends on the problem. If you have a good guess for a compact set where the optimal dual solution must reside, then choose some value there. Otherwise, I would set it to zero.
– Alex Shtof
Jul 29 at 8:00




I believe it depends on the problem. If you have a good guess for a compact set where the optimal dual solution must reside, then choose some value there. Otherwise, I would set it to zero.
– Alex Shtof
Jul 29 at 8:00












What do you mean by optimal dual solution? Can you please suggest some reference that explains concept of optimal dual.
– Rimple Malik
Aug 5 at 22:31




What do you mean by optimal dual solution? Can you please suggest some reference that explains concept of optimal dual.
– Rimple Malik
Aug 5 at 22:31















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