Solution

ID: past-exam-of-the-continuous-optimisation-course-of-the-university-of-oxford/2011/1/v/solution

For the convention above, after approximately minimizing , update
The exact shifted-residual identity is
If the constraint is violated, , its left side is , and replacing the new multiplier by its limiting value gives the printed local estimate
For arbitrary iterates, the precise unshifted statement includes the negative part:
Thus the printed estimate describes approach from the violated side; it is not a universal signed equality on the feasible side. This qualification follows directly from the projection in the update.
Its numerical significance is that the constraint violation is controlled by times the multiplier error, rather than by alone. Once multipliers are accurate, high feasibility accuracy can be obtained with a moderate positive penalty parameter. This avoids forcing to become enormous and reduces the ill-conditioning of the inner minimization. Inactive constraints eventually have zero multiplier and zero violation.

New to topics? Read the docs here!