A Trust region interior point algorithm for linearly constrained optimization
Bonnans, J. Frederic ; Pola, Cecilia
HAL, Report N°: RR-1948 / Harvested from HAL
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.
Publié le : 1993-07-05
Classification:  [INFO.INFO-OH]Computer Science [cs]/Other [cs.OH],  [MATH.MATH-OC]Mathematics [math]/Optimization and Control [math.OC]
@article{Report N°: RR-1948,
     author = {Bonnans, J. Frederic and Pola, Cecilia},
     title = {A Trust region interior point algorithm for linearly constrained optimization},
     journal = {HAL},
     volume = {1993},
     number = {0},
     year = {1993},
     language = {en},
     url = {http://dml.mathdoc.fr/item/Report N°: RR-1948}
}
Bonnans, J. Frederic; Pola, Cecilia. A Trust region interior point algorithm for linearly constrained optimization. HAL, Tome 1993 (1993) no. 0, . http://gdmltest.u-ga.fr/item/Report%20N%C2%B0:%20RR-1948/