A Trust Region Method for Constrained Nonsmooth Equations

Steven A. Gabriel and Jong-Shi Pang
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Steven A. Gabriel: The Johns Hopkins University, Department of Mathematical Sciences
Jong-Shi Pang: The Johns Hopkins University, Department of Mathematical Sciences

A chapter in Large Scale Optimization, 1994, pp 155-181 from Springer

Abstract: Abstract In this paper, we develop and analyze the convergence of a fairly general trust region method for solving a system of nonsmooth equations subject to some linear constraints. The method is based on the existence of an iteration function for the nonsmooth equations and involves the solution of a sequence of sub- problems defined by this function. A particular realization of the method leads to an arbitrary-norm trust region method. Applications of the latter method to the nonlinear complementarity and related problems are discussed. Sequential convergence of the method and its rate of convergence are established under certain regularity conditions similar to those used in the NE/SQP method [14] and its generalization [16]. Some computational results are reported.

Keywords: Nonsmooth equations; complementarity problems; nonlinear programs; trust region method; iteration function (search for similar items in EconPapers)
Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4613-3632-7_9

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DOI: 10.1007/978-1-4613-3632-7_9

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