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1.5-Q-superlinear convergence of an exterior-point method for constrained optimization |
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| Authors: | Igor Griva Roman A. Polyak |
| Affiliation: | (1) Department of Mathematical Sciences and School of Computational Sciences, George Mason University, Fairfax, VA 22030, USA;(2) Department of SEOR and Mathematical Sciences, George Mason University, Fairfax, VA 22030, USA |
| Abstract: | We introduce and analyze an exterior-point method (EPM) for constrained optimization problems with both inequality constraints and equations. We show that under the standard second-order optimality conditions the EPM converges to the primal–dual solution with 1.5-Q-superlinear rate. Dedicated to Professor Gil Strang on the occasion on his 70th birthday. |
| Keywords: | Nonlinear rescaling Augmented Lagrangian duality Primal-dual Multipliers method |
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