A CONVEX APPROXIMATION METHOD FOR LARGE SCALE LINEAR INEQUALITY CONSTRAINED MINIMIZATION

Hai-Jun Wang () and Qin Ni ()
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Hai-Jun Wang: College of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing 210016, China;
Qin Ni: College of Economics and Management, Nanjing University of Aeronautics and Astronautics, Nanjing 210016, China

Asia-Pacific Journal of Operational Research (APJOR), 2010, vol. 27, issue 01, 85-101

Abstract: A new method of moving asymptotes for large scale minimization subject to linear inequality constraints is discussed in this paper. In each step of the iterative process, a descend direction is obtained by solving a convex separable subproblem with dual technique. The new rules for controlling the asymptotes parameters are designed by the trust region radius and some approximation properties such that the global convergence of the new method are obtained. The numerical results show that the new method may be capable of processing some large scale problems.

Keywords: Method of moving asymptotes; trust region; linear inequality constrains; nonlinear optimization (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1142/S0217595910002557

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