A robust secant method for optimization problems with inequality constraints |
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| Authors: | E Polak D Q Mayne |
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| Institution: | (1) Department of Electrical Engineering and Computer Sciences, and Electronics Research Laboratory, University of California, Berkeley, California;(2) Department of Computing and Control, Imperial College, London, England |
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| Abstract: | This paper presents a secant method, based on R. B. Wilson's formula for the solution of optimization problems with inequality constraints. Global convergence properties are ensured by grafting the secant method onto a phase I - phase II feasible directions method, using a rate of convergence test for crossover control.This research was sponsored by the National Science Foundation, Grant No. ENG-73-08214 and Grant No. (RANN)-ENV-76-04264, and by the Joint Services Electronics Program. Contract No. F44620-76-C-0100. |
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| Keywords: | Nonlinear programming secant method quasi-Newton method algorithm stabilization recursive quadratic programming |
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