Multiplier and gradient methods
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TL;DR
The main purpose of this paper is to suggest a method for finding the minimum of a functionf(x) subject to the constraintg(x)=0, which consists of replacingf byF=f+λg+1/2cg2, and computing the appropriate value of the Lagrange multiplier.
Abstract
The main purpose of this paper is to suggest a method for finding the minimum of a functionf(x) subject to the constraintg(x)=0. The method consists of replacingf byF=f+λg+1/2cg 2, wherec is a suitably large constant, and computing the appropriate value of the Lagrange multiplier. Only the simplest algorithm is presented. The remaining part of the paper is devoted to a survey of known methods for finding unconstrained minima, with special emphasis on the various gradient techniques that are available. This includes Newton's method and the method of conjugate gradients.