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<h1 class="chapter"> 43. augmented_lagrangian </h1>
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<tr><td align="left" valign="top"><a href="#SEC170">43.1 Definitions for augmented_lagrangian</a></td><td> </td><td align="left" valign="top">
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<h2 class="section"> 43.1 Definitions for augmented_lagrangian </h2>
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<dt><u>Function:</u> <b>augmented_lagrangian_method</b><i> (<var>FOM</var>, <var>xx</var>, <var>C</var>, <var>yy</var>)</i>
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<a name="IDX1383"></a>
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<dt><u>Function:</u> <b>augmented_lagrangian_method</b><i> (<var>FOM</var>, <var>xx</var>, <var>C</var>, <var>yy</var>, optional_args)</i>
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<a name="IDX1384"></a>
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<dd><p>Returns an approximate minimum of the expression <var>FOM</var>
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with respect to the variables <var>xx</var>,
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holding the constraints <var>C</var> equal to zero.
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<var>yy</var> is a list of initial guesses for <var>xx</var>.
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The method employed is the augmented Lagrangian method (see Refs [1] and [2]).
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<p><code>optional_args</code> represents additional arguments,
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specified as <code><var>symbol</var> = <var>value</var></code>.
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The optional arguments recognized are:
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<dl compact="compact">
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<dt> <code>niter</code></dt>
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<dd><p>Number of iterations of the augmented Lagrangian algorithm
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<dt> <code>lbfgs_tolerance</code></dt>
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<dd><p>Tolerance supplied to LBFGS
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<dt> <code>iprint</code></dt>
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<dd><p>IPRINT parameter (a list of two integers which controls verbosity) supplied to LBFGS
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<dt> <code>%lambda</code></dt>
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<dd><p>Initial value of <code>%lambda</code> to be used for calculating the augmented Lagrangian
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<p>This implementation minimizes the augmented Lagrangian by
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applying the limited-memory BFGS (LBFGS) algorithm,
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which is a quasi-Newton algorithm.
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<p><code>load(augmented_lagrangian)</code> loads this function.
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<p>See also <code>lbfgs</code>.
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<p>[1] http://www-fp.mcs.anl.gov/otc/Guide/OptWeb/continuous/constrained/nonlinearcon/auglag.html
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<p>[2] http://www.cs.ubc.ca/spider/ascher/542/chap10.pdf
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<table><tr><td> </td><td><pre class="example">(%i1) load (lbfgs);
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(%o1) /home/robert/tmp/maxima-release-branch/maxima/share/lbfgs/\
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(%i2) load (augmented_lagrangian);
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(%o2) /home/robert/tmp/maxima-release-branch/maxima/share/contri\
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b/augmented_lagrangian.mac
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(%i3) FOM: x^2 + 2*y^2;
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(%i5) C: [x + y - 1];
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(%i7) augmented_lagrangian_method (FOM, xx, C, yy, iprint = [-1, 0]);
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(%o7) [[x = 0.6478349888525, y = 0.32391749442625],
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%lambda = [- 1.267422460983745]]
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