A two-stage feasible directions algorithm for nonlinear constrained optimization |
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Authors: | José Herskovits |
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Institution: | (1) COPPE, Universidade Federal do Rio de Janeiro, C.P. 68503, 21945 Rio de Janeiro, Brazil |
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Abstract: | We present a feasible directions algorithm, based on Lagrangian concepts, for the solution of the nonlinear programming problem
with equality and inequality constraints. At each iteration a descent direction is defined; by modifying it, we obtain a feasible
descent direction. The line search procedure assures the global convergence of the method and the feasibility of all the iterates.
We prove the global convergence of the algorithm and apply it to the solution of some test problems. Although the present
version of the algorithm does not include any second-order information, like quasi-Newton methods, these numerical results
exhibit a behavior comparable to that of the best methods known at present for nonlinear programming.
Research performed while the author was on a two years appointment at INRIA, Rocquencourt, France, and partially supported
by the Brazilian Research Council (CNPq). |
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Keywords: | Nonlinear programming Lagrangian methods feasible direction methods |
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