Exact augmented Lagrangians for constrained optimization problems in Hilbert spaces I: theory

Abstract

In this two-part study, we develop a general theory of the so-called exact augmented Lagrangians for constrained optimization problems in Hilbert spaces. In contrast to traditional nonsmooth exact penalty functions, these augmented Lagrangians are continuously differentiable for smooth problems and do not suffer from the Maratos effect, which makes them especially appealing for applications in numerical optimization. Our aim is to present a detailed study of various theoretical properties of exact augmented Lagrangians and discuss several applications of these functions to constrained variational problems, problems with PDE constraints, and optimal control problems. The first paper is devoted to a theoretical analysis of an exact augmented Lagrangian for optimization problems in Hilbert spaces. We obtain several useful estimates of this augmented Lagrangian and its gradient, and present several types of sufficient conditions for KKT-points of a constrained problem corresponding to locally/globally optimal solutions to be local/global minimizers of the exact augmented Lagrangian.

Keywords:

• Augmented Lagrangian
• exact penalty function
• constrained optimization
• KKT-point
• constraint qualification

AMS Subject Classifications:

• 90C30
• 90C48

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

This work was performed in IPME RAS and supported by the Russian Science Foundation [grant number 20-71-10032].