Rates of convergence of Newton type methods for variational inequalities and nonlinear programming
Bonnans, J. Frederic
HAL, Report N°: RR-1260 / Harvested from HAL
This paper presents some new results in the theory of Newton type methods for variational inequalities and their application to nonlinear programming. A condition of semi-stability is shown to ensure the quadratic convergence of Newton's method and the superlinear convergence of some quasi-Newton algorithms, provided the sequence defined by the algorithm exists and converges. A partial extension of these results to nonsmooth function is given. The second part of the paper considers some particular variationnal inequalities with unknowns {x, l) generalizing optimality systems. Here only the question of superlinear convergence of {xk} is considered. Some necessary or sufficient conditions are given. Applied to some quasi-Newton algorithms they allow to obtain the superlinear convergence of {xk}. The application of the previous results to nonlinear programming allows to strenghten the know results, the main point being a characterization of the superlinear convergence of {xk} assuming a weak second-order condition without strict complementary.
Publié le : 1990-07-05
Classification:  [INFO.INFO-OH]Computer Science [cs]/Other [cs.OH],  [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC]
@article{Report N°: RR-1260,
     author = {Bonnans, J. Frederic},
     title = {Rates of convergence of Newton type methods for variational inequalities and nonlinear programming},
     journal = {HAL},
     volume = {1990},
     number = {0},
     year = {1990},
     language = {en},
     url = {http://dml.mathdoc.fr/item/Report N°: RR-1260}
}
Bonnans, J. Frederic. Rates of convergence of Newton type methods for variational inequalities and nonlinear programming. HAL, Tome 1990 (1990) no. 0, . http://gdmltest.u-ga.fr/item/Report%20N%C2%B0:%20RR-1260/