Solving Problems with Inconsistent Constraints with a Modified Augmented Lagrangian Method

Abstract: We present a numerical method for the minimization of constrained optimization problems where the objective is augmented with large quadratic penalties of inconsistent equality constraints. Such objectives arise from quadratic integral penalty methods for the direct transcription of optimal control problems. The Augmented Lagrangian Method (ALM) has a number of advantages over the Quadratic Penalty Method (QPM). However, if the equality constraints are inconsistent, then ALM might not converge to a point that minimizes the bias of the objective and penalty term. Therefore, we present a modification of ALM that fits our purpose. We prove convergence of the modified method and bound its local convergence rate by that of the unmodified method. Numerical experiments demonstrate that the modified ALM can minimize certain quadratic penalty-augmented functions faster than QPM, whereas the unmodified ALM converges to a minimizer of a significantly different problem.