A New Trust Region Algorithm for Equality Constrained Optimization
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Author
Coleman, Thomas F.
Yuan, Wei
Abstract
We present a new trust algorithm for solving nonlinear equality constrained optimization problems. At each iterate a change of variables is performed to improve the ability of the algorithm to follow the constraint level sets. The algorithm employs L2 penalty function for obtaining global convergence. Under certain assumptions we prove that this algorithm globally converges to a point satisfying the second order necessary optimally conditions; the local convergence rate is quadratic. Results of preliminary numerical experiments are presented.
Date Issued
1995-01
Publisher
Cornell University
Keywords
Previously Published as
http://techreports.library.cornell.edu:8081/Dienst/UI/1.0/Display/cul.tc/95-205
Type
technical report