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A NEW CONSTRAINTS IDENTIFICATION TECHNIQUE-BASED QP-FREE ALGORITHM FOR THE SOLUTION OF INEQUALITY CONSTRAINED MINIMIZATION PROBLEMS
  • ISSN号:0254-9409
  • 期刊名称:《计算数学:英文版》
  • 时间:0
  • 分类:O24[理学—计算数学;理学—数学]
  • 作者机构:[1]Department of Mathematics, Shanghai Jiao Tong University, Shanghai 200240, China, College of Information Science and Engineering, Shandong University of Science and Technology, Qingdao 266510, China, [2]College of Information Science and Engineering, Shandong University of Science and Technology, Qingdao 266510, China
  • 相关基金:This work is supported by the National Natural Science Foundation of China (10571109).
中文摘要:

在这篇论文,我们建议为解决非线性的不平等的一个可行 QP 免费的方法抑制了优化问题。一个新工作集合被建议估计活跃集合。特殊,决定工作集合,新方法使用更多样地从以前的重复的信息,消除需要计算一更多样地工作。在每次重复,有在工作包含仅仅限制的一个普通系数矩阵的线性方程的二或三个减少的对称的系统设定被解决,并且当 iterate 离一个 KKT 点足够地靠近时,仅仅,他们中的二个被包含。而且,新算法被证明对在温和条件下面的一个 KKT 点全球性会聚。没有假定严格的补充,集中率是超级的在比 strongsecond 顺序充足条件弱的一个条件下面线性。数字实验说明算法的效率。

英文摘要:

In this paper, we propose a feasible QP-free method for solving nonlinear inequality constrained optimization problems. A new working set is proposed to estimate the active set. Specially, to determine the working set, the new method makes use of the multiplier information from the previous iteration, eliminating the need to compute a multiplier function. At each iteration, two or three reduced symmetric systems of linear equations with a common coefficient matrix involving only constraints in the working set are solved, and when the iterate is sufficiently close to a KKT point, only two of them are involved. Moreover, the new algorithm is proved to be globally convergent to a KKT point under mild conditions. Without assuming the strict complementarity, the convergence rate is superlinear under a condition weaker than the strong second-order sufficiency condition. Numerical experiments illustrate the efficiency of the algorithm.

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期刊信息
  • 《计算数学:英文版》
  • 主管单位:
  • 主办单位:中国科学院数学与系统科学研究院
  • 主编:
  • 地址:北京2719信箱
  • 邮编:100080
  • 邮箱:
  • 电话:
  • 国际标准刊号:ISSN:0254-9409
  • 国内统一刊号:ISSN:11-2126/O1
  • 邮发代号:
  • 获奖情况:
  • 中国期刊方阵“双效”期刊
  • 国内外数据库收录:
  • 美国数学评论(网络版),德国数学文摘,荷兰文摘与引文数据库,美国科学引文索引(扩展库),英国科学文摘数据库,日本日本科学技术振兴机构数据库
  • 被引量:193