DYNAMIC CONTROL OF INFEASIBILITY IN EQUALITY CONSTRAINED OPTIMIZATION

被引：20

作者：

Bielschowsky, Roberto H. ^{[1
]}

Gomes, Francisco A. M. ^{[2
]}

机构：

[1] Univ Fed Rio Grande do Norte, Dept Matemat, BR-59072970 Natal, RN, Brazil

[2] Univ Estadual Campinas, IMECC, Dept Matemat Aplicada, BR-13081970 Campinas, SP, Brazil

来源：

SIAM JOURNAL ON OPTIMIZATION | 2008年 / 19卷 / 03期

关键词：

nonlinear programming; constrained optimization; large-scale optimization;

D O I：

10.1137/070679557

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

This paper describes a new algorithm for solving nonlinear programming problems with equality constraints. The method introduces the idea of using trust cylinders to keep the infeasibility under control. Each time the trust cylinder is violated, a restoration step is called and the infeasibility level is reduced. The radius of the trust cylinder has a nonincreasing update scheme, so eventually a feasible (and optimal) point is obtained. Global and local convergence of the algorithm are analyzed, as well as its numerical performance. The results suggest that the algorithm is promising.

引用

页码：1299 / 1325

页数：27

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