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  • Search: subject:"Karush–Kuhn–Tucker system"
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Year of publication
Subject
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Augmented Lagrangian 1 Generalized Jacobian 1 Karush-Kuhn-Tucker system 1 Karush–Kuhn–Tucker system 1 Method of multipliers 1 Noncritical Lagrange multiplier 1 Sensitivity 1 Superlinear convergence 1 Variational problem 1 matrix inversion 1 optimal value function 1 shadow price 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Article 1 Book / Working Paper 1
Language
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English 1 Undetermined 1
Author
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Flåm, Sjur Didrik 1 Izmailov, A. 1 Jongen, Hubertus Th. 1 Kurennoy, A. 1 Solodov, M. 1 Stein, Oliver 1
Institution
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Institutt for Økonomi, Universitetet i Bergen 1
Published in...
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Computational Optimization and Applications 1 Working Papers in Economics 1
Source
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RePEc 2
Showing 1 - 2 of 2
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Local convergence of the method of multipliers for variational and optimization problems under the noncriticality assumption
Izmailov, A.; Kurennoy, A.; Solodov, M. - In: Computational Optimization and Applications 60 (2015) 1, pp. 111-140
We present a local convergence analysis of the method of multipliers for equality-constrained variational problems (in the special case of optimization, also called the augmented Lagrangian method) under the sole assumption that the dual starting point is close to a noncritical Lagrange...
Persistent link: https://www.econbiz.de/10011151831
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Cover Image
Slopes of Shadow Prices and Lagrange Multipliers
Flåm, Sjur Didrik; Jongen, Hubertus Th.; Stein, Oliver - Institutt for Økonomi, Universitetet i Bergen - 2007
consequence, for the multiplier derivatives. Keywords: Sensitivity, optimal value function, shadow price, Karush-Kuhn- Tucker … system, matrix inversion. AMS classifications: primary 90C31, secondary 90C30, 90C90. ∗Department of Economics, University of …
Persistent link: https://www.econbiz.de/10008876361
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