Monotone Variable–Metric Algorithm for Linearly Constrained Nonlinear Programming

G. Pacelli and Maria Recchioni
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G. Pacelli: University of Ancona

Journal of Optimization Theory and Applications, 2000, vol. 104, issue 2, No 1, 255-279

Abstract: Abstract A new method for linearly constrained nonlinear programming is proposed. This method follows affine scaling paths defined by systems of ordinary differential equations and it is fully parallelizable. The convergence of the method is proved for a nondegenerate problem with pseudoconvex objective function. In practice, the algorithm works also under more general assumptions on the objective function. Numerical results obtained with this computational method on several test problems are shown.

Keywords: nonlinear programming; path-following methods; differential equations; projective algorithms (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1004645328197

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