Diagonalized multiplier methods and quasi-Newton methods for constrained optimization |
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Authors: | R A Tapia |
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Institution: | (1) Rice University, Houston, Texas |
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Abstract: | Two approaches to quasi-Newton methods for constrained optimization problems inR
n are presented. These approaches are based on a class of Lagrange multiplier approximation formulas used by the author in his previous work on Newton's method for constrained problems. The first approach is set in the framework of a diagonalized multiplier method. From this point of view, a new update rule for the Lagrange multipliers which depends on the particular quasi-Newton method employed is given. This update rule, in contrast to most other update rules, does not require exact minimization of the intermediate unconstrained problem. In fact, the optimal convergence rate is attained in the extreme case when only one step of a quasi-Newton method is taken on this intermediate problem. The second approach transforms the constrained optimization problem into an unconstrained problem of the same dimension.The author would like to thank J. Moré and M. J. D. Powell for comments related to the material in Section 13. He also thanks J. Nocedal for the computer results in Tables 1–3 and M. Wright for the results in Table 4, which were obtained via one of her general programs. Discussions with M. R. Hestenes and A. Miele regarding their contributions to this area were very helpful. Many individuals, including J. E. Dennis, made useful general comments at various stages of this paper. Finally, the author is particularly thankful to R. Byrd, M. Heath, and R. McCord for reading the paper in detail and suggesting many improvements.This work was supported by the Energy Research and Development Administration, Contract No. E-(40-1)-5046, and was performed in part while the author was visiting the Department of Operations Research, Stanford University, Stanford, California. |
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Keywords: | Newton-Raphson method quasi-Newton method nonlinear programming multiplier method augmented Lagrangian method |
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