Local Feasible QP-Free Algorithms for the Constrained Minimization of SC1 Functions

F. Facchinei and C. Lazzari
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F. Facchinei: Università di Roma–La Sapienza
C. Lazzari: Istituto di Analisi dei Sistemi ed Informatica, CNR

Journal of Optimization Theory and Applications, 2003, vol. 119, issue 2, No 4, 316 pages

Abstract: Abstract We consider the problem of minimizing an SC1 function subject to inequality constraints. We propose a local algorithm whose distinguishing features are that: (a) a fast convergence rate is achieved under reasonable assumptions that do not include strict complementarity at the solution; (b) the solution of only linear systems is required at each iteration; (c) all the points generated are feasible. After analyzing a basic Newton algorithm, we propose some variants aimed at reducing the computational costs and, in particular, we consider a quasi-Newton version of the algorithm.

Keywords: Constrained optimization; feasible algorithms; SC1 functions; superlinear convergence; strict complementarity; quasi-Newton methods (search for similar items in EconPapers)
Date: 2003
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DOI: 10.1023/B:JOTA.0000005447.36961.29

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