A special newton-type optimization method

The Kuhn-Tucker conditions of an optimization problem with inequality constraints are transformed equivalently into a special nonlinear system of equations T 0 (z) = 0. It is shown that Newton's method for solving this system combines two valuable properties: The local Q-quadratic convergence w...

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Vydáno v:Optimization Ročník 24; číslo 3-4; s. 269 - 284
Hlavní autor: Fischer, A.
Médium: Journal Article
Jazyk:angličtina
Vydáno: Gordon and Breach Science Publishers 01.01.1992
Témata:
Clarke's Jacobian
Inequality Constraints
Kuhn-Tucker Points
Newton's Method
Nonlinear Programming Algorithms
Strict Complementary Slackness Condition
ISSN:0233-1934, 1029-4945
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Shrnutí:The Kuhn-Tucker conditions of an optimization problem with inequality constraints are transformed equivalently into a special nonlinear system of equations T 0 (z) = 0. It is shown that Newton's method for solving this system combines two valuable properties: The local Q-quadratic convergence without assuming the strict complementary slackness condition and the regularity of the Jacobian of T 0 at a point z under reasonable conditions, so that Newton's method can be used also far from a Kuhn-Tucker point
ISSN:0233-1934
1029-4945
DOI:10.1080/02331939208843795