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System and method for performing non-linear constrained optimization with an augmented lagrangian pattern search
System and method for performing non-linear constrained optimization with an augmented lagrangian pattern search
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机译:用增强的拉格朗日模式搜索执行非线性约束优化的系统和方法
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摘要
An Augmented Lagrangian Pattern Search (ALPS) algorithm that attempts to solve a non-linear optimization problem subject to non-linear, linear, and, bound constraints is discussed. The present invention utilizes information from the linear and bound constraints, formulates sub-problems using Lagrange parameter estimates and appropriate penalty parameters (using a log barrier), and provides a robust update formulae for parameters which guides the algorithm towards a minimum. The present invention solves a general non-linear optimization problem without using any slack variables to convert the inequality constraints to equality constraints or equality constraints to inequality constraints.
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