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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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https://hal.inria.fr/inria-00074725
Contributor : Rapport de Recherche Inria <>
Submitted on : Wednesday, May 24, 2006 - 4:10:16 PM
Last modification on : Friday, May 25, 2018 - 12:02:05 PM
Long-term archiving on: : Tuesday, April 12, 2011 - 6:37:29 PM

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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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