A Trust region interior point algorithm for linearly constrained optimization

Abstract : 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.
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Rapport
[Research Report] RR-1948, INRIA. 1993
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https://hal.inria.fr/inria-00074725
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Soumis le : mercredi 24 mai 2006 - 16:10:16
Dernière modification le : mardi 17 avril 2018 - 11:28:48
Document(s) archivé(s) le : mardi 12 avril 2011 - 18:37:29

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  • HAL Id : inria-00074725, version 1

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J. Frederic Bonnans, Cecilia Pola. A Trust region interior point algorithm for linearly constrained optimization. [Research Report] RR-1948, INRIA. 1993. 〈inria-00074725〉

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