Augmented Lagrangian methods under the constant positive linear dependence constraint qualification

Two Augmented Lagrangian algorithms for solving KKT systems are introduced. The algorithms differ in the way in which penalty parameters are updated. Possibly infeasible accumulation points are characterized. It is proved that feasible limit points that satisfy the Constant Positive Linear Dependence constraint qualification are KKT solutions. Boundedness of the penalty parameters is proved under suitable assumptions. Numerical experiments are presented.

A Lagrangian identification of major sources of moisture over Central Brazil and La Plata Basin

[1] This work examines the main sources of moisture over Central Brazil and La Plata Basin during the year through a new Lagrangian diagnosis method which identifies the humidity contributions to the moisture budget over a region. This methodology computes budgets of evaporation minus precipitation by calculating changes in the specific humidity along back-trajectories for the previous 10 d. The origin of all air masses residing over each region was tracked during a period of 5 years (2000-2004). These regions were selected because they coincide with two centers of action of a known dipole precipitation variability mode observed in different temporal scales (from intra seasonal up to inter decadal timescales) and are related to the climatic variability of the South American Monsoon System. The results suggested the importance of the tropical south Atlantic as a moisture source for Central Brazil, and of recycling for La Plata basin. It seems that the Tropical South Atlantic plays an important role as a moisture source for Central Brazil and La Plata basin along the year, particularly during the austral summer. The north Atlantic is also an additional source for both regions during the austral summer.

Reduced gradient method combined with augmented Lagrangian and barrier for the optimal power flow problem

A new approach for solving the optimal power flow (OPF) problem is established by combining the reduced gradient method and the augmented Lagrangian method with barriers and exploring specific characteristics of the relations between the variables of the OPF problem. Computer simulations on IEEE 14-bus and IEEE 30-bus test systems illustrate the method. (c) 2007 Elsevier Inc. All rights reserved.

A Lagrangian relaxation approach to a coupled lot-sizing and cutting stock problem

Industrial production processes involving both lot-sizing and cutting stock problems are common in many industrial settings. However, they are usually treated in a separate way, which could lead to costly production plans. In this paper, a coupled mathematical model is formulated and a heuristic method based on Lagrangian relaxation is proposed. Computational results prove its effectiveness. (C) 2009 Elsevier B.V. All rights reserved.

Global minimization using an Augmented Lagrangian method with variable lower-level constraints

A novel global optimization method based on an Augmented Lagrangian framework is introduced for continuous constrained nonlinear optimization problems. At each outer iteration k the method requires the epsilon(k)-global minimization of the Augmented Lagrangian with simple constraints, where epsilon(k) -> epsilon. Global convergence to an epsilon-global minimizer of the original problem is proved. The subproblems are solved using the alpha BB method. Numerical experiments are presented.

Structured minimal-memory inexact quasi-Newton method and secant preconditioners for augmented Lagrangian optimization

Augmented Lagrangian methods for large-scale optimization usually require efficient algorithms for minimization with box constraints. On the other hand, active-set box-constraint methods employ unconstrained optimization algorithms for minimization inside the faces of the box. Several approaches may be employed for computing internal search directions in the large-scale case. In this paper a minimal-memory quasi-Newton approach with secant preconditioners is proposed, taking into account the structure of Augmented Lagrangians that come from the popular Powell-Hestenes-Rockafellar scheme. A combined algorithm, that uses the quasi-Newton formula or a truncated-Newton procedure, depending on the presence of active constraints in the penalty-Lagrangian function, is also suggested. Numerical experiments using the Cute collection are presented.

Improving ultimate convergence of an augmented Lagrangian method

Optimization methods that employ the classical Powell-Hestenes-Rockafellar augmented Lagrangian are useful tools for solving nonlinear programming problems. Their reputation decreased in the last 10 years due to the comparative success of interior-point Newtonian algorithms, which are asymptotically faster. In this research, a combination of both approaches is evaluated. The idea is to produce a competitive method, being more robust and efficient than its `pure` counterparts for critical problems. Moreover, an additional hybrid algorithm is defined, in which the interior-point method is replaced by the Newtonian resolution of a Karush-Kuhn-Tucker (KKT) system identified by the augmented Lagrangian algorithm. The software used in this work is freely available through the Tango Project web page:http://www.ime.usp.br/similar to egbirgin/tango/.

Instability of equilibrium points of some Lagrangian systems

In this work we show that, if L is a natural Lagrangian system such that the k-jet of the potential energy ensures it does not have a minimum at the equilibrium and such that its Hessian has rank at least n - 2, then there is an asymptotic trajectory to the associated equilibrium point and so the equilibrium is unstable. This applies, in particular, to analytic potentials with a saddle point and a Hessian with at most 2 null eigenvalues. The result is proven for Lagrangians in a specific form, and we show that the class of Lagrangians we are interested can be taken into this specific form by a subtle change of spatial coordinates. We also consider the extension of this results to systems subjected to gyroscopic forces. (C) 2008 Elsevier Inc. All rights reserved.

Minimal Lagrangian surfaces in the tangent bundle of a Riemannian surface

Given an oriented Riemannian surface (Sigma, g), its tangent bundle T Sigma enjoys a natural pseudo-Kahler structure, that is the combination of a complex structure 2, a pseudo-metric G with neutral signature and a symplectic structure Omega. We give a local classification of those surfaces of T Sigma which are both Lagrangian with respect to Omega and minimal with respect to G. We first show that if g is non-flat, the only such surfaces are affine normal bundles over geodesics. In the flat case there is, in contrast, a large set of Lagrangian minimal surfaces, which is described explicitly. As an application, we show that motions of surfaces in R(3) or R(1)(3) induce Hamiltonian motions of their normal congruences, which are Lagrangian surfaces in TS(2) or TH(2) respectively. We relate the area of the congruence to a second-order functional F = f root H(2) - K dA on the original surface. (C) 2010 Elsevier B.V. All rights reserved.

Construction of Hamiltonian-Minimal Lagrangian submanifolds in Complex Euclidean Space

We describe several families of Lagrangian submanifolds in complex Euclidean space which are H-minimal, i.e. critical points of the volume functional restricted to Hamiltonian variations. We make use of various constructions involving planar, spherical and hyperbolic curves, as well as Legendrian submanifolds of the odd-dimensional unit sphere.

An algebraic theory for generalized Jordan chains and partial signatures in the Lagrangian Grassmannian

We discuss an algebraic theory for generalized Jordan chains and partial signatures, that are invariants associated to sequences of symmetric bilinear forms on a vector space. We introduce an intrinsic notion of partial signatures in the Lagrangian Grassmannian of a symplectic space that does not use local coordinates, and we give a formula for the Maslov index of arbitrary real analytic paths in terms of partial signatures.