Constrained Optimization and Lagrange Multiplier Methods

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This reference textbook, first published in 1982 by Academic Press, remains the authoritative and comprehensive treatment of some of the most widely used constrained optimization methods, including the augmented Lagrangian/multiplier and sequential quadratic programming methods. It is an excellent supplement to the author's Nonlinear Programming: 2nd Edition book (Athena Scientific, 1999).

"This is an excellent reference book. The author has done a great job in at least three directions. First, he expertly, systematically and with ever-present authority guides the reader through complicated areas of numerical optimization. This is achieved by carefully explaining and illustrating (by figures, if necessary) the underlying principles and theory. Second, he provides extensive guidance on the merits of various types of methods. This is extremely useful to practitioners. Finally, this is truly a state of the art book on numerical optimization."
S. Zlobec, McGill University, in SIAM Review

• treats extensively augmented Lagrangian methods, including an exhaustive analysis of the associated convergence and rate of convergence properties

• develops comprehensively sequential quadratic programming and other Lagrangian methods

• provides a detailed analysis of differentiable and nondifferentiable exact penalty methods

• presents nondifferentiable and minimax optimization methods based on smoothing

• contains much in depth research not found in any other textbook

The author is McAfee Professor of Engineering at the Massachusetts Institute of Technology and a member of the prestigious US National Academy of Engineering. He is the recipient of the 2001 A. R. Raggazini ACC education award and the 2009 INFORMS expository writing award.