A variant of the CESTAC method and its application to constrained optimization

J. Abadie and F. Dekhli

Mathematics and Computers in Simulation (MATCOM), 1988, vol. 30, issue 6, 519-529

Abstract: The Vignes-La Porte CESTAC method enables the computer, when solving a problem in floating-point arithmetics (e.g., a system of equations), to construct 95% confidence intervals for the accuracy of the solution. In iterative methods, this involves the Optimal Stopping Criterion, which may be too costly or impossible to achieve. Here we present a variant which permits the use of classical stopping criteria. This variant is applied to the Generalized Reduced Gradient (GRG) method for nonlinear constrained optimization problems. Numerical experiments are presented.

Date: 1988
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:30:y:1988:i:6:p:519-529

DOI: 10.1016/0378-4754(88)90073-0

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