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作者机构:Univ Pittsburgh Dept Math Pittsburgh PA 15213 USA
出 版 物:《SIAM JOURNAL ON OPTIMIZATION》 (工业与应用数学会最优化杂志)
年 卷 期:2002年第12卷第4期
页 面:949-978页
核心收录:
学科分类:07[理学] 070104[理学-应用数学] 0701[理学-数学]
主 题:sequential quadratic programming degenerate constraints quadratic constraints superlinear convergence
摘 要:We present an algorithm that achieves superlinear convergence for nonlinear programs satisfying the Mangasarian-Fromovitz constraint qualification and the quadratic growth condition. This convergence result is obtained despite the potential lack of a locally convex augmented Lagrangian. The algorithm solves a succession of subproblems that have quadratic objectives and quadratic constraints, both possibly nonconvex. By the use of a trust-region constraint we guarantee that any stationary point of the subproblem induces superlinear convergence, which avoids the problem of computing a global minimum. We compare this algorithm with sequential quadratic programming algorithms on several degenerate nonlinear programs.