Quasi-Newton methods for generalized equations
Josephy, Norman
HAL, hal-01316084 / Harvested from HAL
Newton's method is a well known and often applied technique for computing a zero of a nonlinear function. Situations arise in which it is undesirable to evaluate, at each iteration, the derivative appearing in the Newton iteration formula. In these cases, a technique of much modern interest is the quasi-Newton method, in which an approximation to the derivative is used in place of the derivative. By using the theory of generalized equations, quasi-Newton methods are developed to solve problems arising in both mathematical programming and mathematical economics. We prove two results concerning the convergence and convergence rate of quasi-Newton methods for generalized equations. We present computational results of quasi-Newton methods applied to a nonlinear complementarity problem of Kojima.
Publié le : 1979-06-04
Classification:  Quasi-Newton Methods,  Complementarity,  Variational Inequalities,  [MATH]Mathematics [math]
@article{hal-01316084,
     author = {Josephy, Norman},
     title = {Quasi-Newton methods for generalized equations},
     journal = {HAL},
     volume = {1979},
     number = {0},
     year = {1979},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-01316084}
}
Josephy, Norman. Quasi-Newton methods for generalized equations. HAL, Tome 1979 (1979) no. 0, . http://gdmltest.u-ga.fr/item/hal-01316084/