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A trust-region and affine scaling algorithm for linearly constrained optimization |
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| Authors: | |
| Institution: | 1. Department of Mathematics, Suzhou University, Suzhou 215006, China. The work was done while visiting Institute of Applied Mathematics, AMSS, CAS 2. Institute of Applied Mathematics, Academy of Mathematics and System Sciences (AMSS), Chinese Academy of Sciences (CAS), Beijing 100080, China |
| Abstract: | A new trust-region and affine scaling algorithm for linearly constrained optimization is presented in this paper. Under no nondegenerate assumption, we prove that any limit point of the sequence generated by the new algorithm satisfies the first order necessary condition and there exists at least one limit point of the sequence which satisfies the second order necessary condition. Some preliminary numerical experiments are reported. The work was done while visiting Institute of Applied Mathematics, AMSS, CAS. |
| Keywords: | linear constraint trust-region affine scaling interior point method |
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