MATLAB sources for the augmented Lagrangian method
Run the following.
exp_AL_quad
It solve a convex quadratic problem whose parameters are read from prob_quad_var2_ineq4.mat.
You see the following graph.
The horizontal axis is the execution time in second.
PR and DR are primal and dual residuals (errors), respectively.
inv_c and epsilon are parameters of the augmented Lagrangian, which control PR and DR, respectively.
The result is saved in result_AL.mat.
The source of the augmented Lagrangian is augmented_Lagrangian.m.
Run the following.
plot_prob_quad
Then, you see the following plot of the quadratic problem and the trajectory obtained by the augmented Lagrangian. The feasible region is the polyhedron of the figure, and the curves are contours of the objective function.
