I want to solve a non-linear problem with non-linear equality constrains and I'm using a augmented Lagrangian with a penalty regularization term that, as well known, spoils the condition number of my linearized systems (at each Newton iteration I mean). The bigger the penalty term, the worse the condition number is. Would someone know an efficient way to get rid of this bad conditioning in that specific case ?
To be more specific, I'm using the classical augmented lagrangian because I have lots of constraints which may generally be redundant. So blindly incorporating the constraints direclty into the primal variables is very convenient. I tried other more sophisticated approaches based on variable eliminations or efficient preconditioners directly on the KKT system but, because of constraints redundancy, I have some troubles.
The problem with regard to $\mathbf u =[u_1,\cdots,u_n]$ variables is formulated as follow my Lagrangian as the form $$\mathcal L(\mathbf u,\lambda):= \mathcal W(\mathbf u) + \rho \lambda^T \,c(\mathbf u) + \frac{\rho}{2} c^2(\mathbf u) $$
So generally The goal at each Newton iteration is to solve a problem of the form $$A \Delta u = b$$ With (we drop hessian of the constraint) $$A(\mathbf u,\rho): = \nabla_{\mathbf u}^2 \mathcal W(\mathbf u) + \rho C^T(\mathbf u)C(\mathbf u) $$ and $$b(\mathbf u,\rho) :=- \big(\nabla_{\mathbf u}\mathcal W(\mathbf u) +(\rho +\lambda^Tc(\mathbf u)) \nabla_{\mathbf u}(\mathbf u)\big)$$ and the capital $C$ is meant for $C(\mathbf u) := \nabla_{\mathbf u} c(\mathbf u)$.
Thank you.