Constrained Nonlinear Optimization

Augmented Lagrangian Adaptive Barrier Minimization Algorithm for optimizing smooth nonlinear objective functions with constraints. Linear or nonlinear equality and inequality constraints are allowed.


       Changes in "alabama" version 2010.10-1

o Added the Hessian computation in `auglag'.

o Added checks for the first- and second-order KKT conditions in `auglag'.

o Two of the convergence messages in `' where eliminated, because these were misleading.

       Changes in "alabama" version 2011.3-1

o Fixed a bug in `auglag' related to KKT2 condition when eigenvalues of Hessian can be complex numbers.
This bug occured in 3 functions: auglag1, auglag2, and auglag3.

Changes in "alabama" version 2011.9-1

o Added `ilack.max' as a control parameter and increased it to 6 (it was previously hard coded and set to 3)

Changes in "alabama" version 2015.3-1

o Added `nlminb� as an algorithm for the inner loop optimization.

o Also added an option for checking the second-order KKT condition called `kkt2.check� which is TRUE/FALSE. The default is TRUE, but can be set to FALSE in problems where hessian evaluation can be time consuming.

Reference manual

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2015.3-1 by Ravi Varadhan, 7 years ago

Browse source code at

Authors: Ravi Varadhan (with contributions from Gabor Grothendieck)

Documentation:   PDF Manual  

Task views: Optimization and Mathematical Programming

GPL (>= 2) license

Depends on numDeriv

Imported by GDINA, GenMarkov, MixTwice, ROI.plugin.alabama, SGB, TruncatedNormal, cSEM, cotram, givitiR, intccr, likelihoodAsy, mev, mlt, optiSolve, riskParityPortfolio, tramME, varTestnlme.

Depended on by GNE, LEAPFrOG, SimDissolution, TestingSimilarity, lba, mbbefd.

Suggested by tram.

See at CRAN