Module augmented_lagrangian

Augmented Lagrangian methods for constrained optimization

This module implements augmented Lagrangian methods (also known as method of multipliers) for solving constrained optimization problems. These methods transform constrained problems into a sequence of unconstrained problems by augmenting the objective function with penalty terms and Lagrange multiplier estimates.

Structs

AugmentedLagrangianOptions

Options for augmented Lagrangian method

AugmentedLagrangianResult

Result from augmented Lagrangian optimization

Functions

minimize_augmented_lagrangian

Minimize a function subject to constraints using augmented Lagrangian method

minimize_equality_constrained

Minimize with equality constraints only

minimize_inequality_constrained

Minimize with inequality constraints only