Orthogonal and conjugate basis methods for solving equality constrained minimization problems |
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Authors: | M. C. Bartholomew-Biggs T. T. Nguyen |
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Affiliation: | (1) Numerical Optimisation Centre, Mathematics Division, University of Hertfordshire, AL10 9AB Hatfield, Hertfordshire, UK;(2) Present address: Faculty of Electrical Engineering, Ho Chi Minh University, Ho Chi Minh City, Vietnam |
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Abstract: | This paper deals with methods for choosing search directions in the iterative solution of constrained minimization problems. The popular technique of calculating orthogonal components of the search direction (i.e., tangential and normal to the constraints) is discussed and contrasted with the idea of constructing the search direction from two moves which are conjugate with respect to the Hessian of the Lagrangian function. Minimization algorithms which use search directions obtained by these two approaches are described, and their local convergence properties are studied. This analysis, coupled with some numerical results, suggests that the benefits of building steps from conjugate components are well deserving of further investigation. |
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Keywords: | constrained optimization conjugate base orthogonal base sequential quadratic programming |
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