Convergence analysis of norm-relaxed method of feasible directions

This paper gives a complete treatment of the asymptotic rate of convergence for a class of feasible directions methods, including those studied by Pironneau and Polak and by Cawood and Kostreva. Rate estimates of Pironneau and Polak are sharpened in an analysis which shows the dependence on certain parameters of the direction-finding subproblem and the problem functions. Special cases of interior optimal solution, linear constraints, and fixed matrix norm are analyzed in detail. Numerical verification is provided.