A QP FREE FEASIBLE METHOD

• 来源期刊: 计算数学（英文版）
• 关键词: Constrained optimization KKT point Multiplier Nonlinear complementarity Convergence.
• 年，卷（期）: 2004,（5）
• 页码范围: 651-660
• 页数: 10页
• 语种: 英文

摘要

In [12], a QP free feasible method was proposed for the minimization of a smooth function subject to smooth inequality constraints. This method is based on the solutions of linear systems of equations, the reformulation of the KKT optimality conditions by using the Fischer-Burmeister NCP function. This method ensures the feasibility of all iterations.In this paper, we modify the method in [12] slightly to obtain the local convergence under some weaker conditions. In particular, this method is implementable and globally convergent without assuming the linear independence of the gradients of active constrained functions and the uniformly positive definiteness of the submatrix obtained by the Newton or Quasi Newton methods. We also prove that the method has superlinear convergence rate under some mild conditions. Some preliminary numerical results indicate that this new QP free feasible method is quite promising.