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inria-00074725, version 1

A Trust region interior point algorithm for linearly constrained optimization

J. Frederic Bonnans () 1, Cecilia Pola

N° RR-1948 (1993)

Résumé : We present an extension for nonlinear optimization under linear constraints, of an algorithm for quadratic programming using a trust region idea, introduced by Ye and Tse and extended by Bonnans and Bouhtou. Due to the nonliearity of the cost we use a linesearch in order to reduce the step if necessary. We prove that, under suitable hypotheses, the algorithm converges to a point satisfying the first-order optimality system and we analyse under which conditions the unit stepsize will be asymptotically accepted.

  • 1 :  PROMATH (INRIA Rocquencourt)
  • INRIA
  • Domaine : Informatique/Autre
    Mathématiques/Optimisation et contrôle
  • Référence interne : RR-1948
  • Commentaire : Projet PROMATH
 
  • inria-00074725, version 1
  • http://hal.inria.fr/inria-00074725
  • oai:hal.inria.fr:inria-00074725
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  • Soumis le : Mercredi 24 Mai 2006, 16:10:16
  • Dernière modification le : Mardi 15 Mai 2007, 12:48:02