Add Augmented Lagrangian and SQP Methods - #1
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This notebook introduces the Augmented Lagrangian Method for solving constrained nonlinear optimization problems, detailing its mathematical formulation, algorithm steps, and advantages over penalty methods. It includes examples of constrained optimization problems and their solutions using the method.
This notebook introduces the Sequential Quadratic Programming (SQP) method for constrained optimization, detailing its mathematical formulation, advantages, and algorithm steps. It includes an implementation example using the Rosenbrock function with constraints.
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Summary
This PR adds two important constrained optimization methods to the repository:
New Methods:
Augmented Lagrangian Method (ALM)
Sequential Quadratic Programming (SQP)
Files Added:
Augmented_Lagrangian_Method.ipynbSQP_Method.ipynbExamples Include:
These methods fill a gap in the repository for nonlinear constrained optimization (currently only linear Simplex is available).