Augmented Lagrangian

The toolbox implements the Augmented Lagrangian algorithm

The toolbox implements the well known Augmented Lagrangian algorithm and applies it to an example (Hock and Schittkovski GLR-P1-1).
Two linesearch methods have been investigated. One based on a Newton method and the other based on built-in matlab function fminsearch.
It takes as input several parameters (number of iterations, initial guess about primal and dual variables...). It takes also as input the Lagrangian and its gradient and hessian.