An accelerated multiplier method for nonlinear programming |
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Authors: | J T Betts |
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Institution: | (1) The Aerospace Corporation, El Segundo, California |
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Abstract: | This paper describes an accelerated multiplier method for solving the general nonlinear programming problem. The algorithm poses a sequence of unconstrained optimization problems. The unconstrained problems are solved using a rank-one recursive algorithm described in an earlier paper. Multiplier estimates are obtained by minimizing the error in the Kuhn-Tucker conditions using a quadratic programming algorithm. The convergence of the sequence of unconstrained problems is accelerated by using a Newton-Raphson extrapolation process. The numerical effectiveness of the algorithm is demonstrated on a relatively large set of test problems.This work was supported by the US Air Force under Contract No. F04701-74-C-0075. |
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Keywords: | Augmented penalty function method of multipliers penalty function methods nonlinear programming mathematical programming |
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