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Persistent URL http://purl.org/net/epubs/work/33858
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Record Id 33858
Title On the convergence of successive linear quadratic programming algorithms
Abstract The global convergence properties of a class of penalty methods for nonlinear programming are analyzed. These methods include successive linear programming approaches, and more specifically, the successive linear-quadratic programming approach presented by Byrd, Gould, Nocedal and Waltz (Math. Programming 100(1):27{48, 2004). Every iteration requires the solution of two trust-region subproblems involving piecewise linear and quadratic models, respectively. It is shown that, for a xed penalty parameter, the sequence of iterates approaches stationarity of the penalty function. A procedure for dynamically adjusting the penalty parameter is described, and global convergence results for it are established.
Organisation CCLRC , ESC , CSE-NAG
Funding Information
Related Research Object(s): 40546 , 29792
Language English (EN)
Type Details URI(s) Local file(s) Year
Report RAL Technical Reports RAL-TR-2004-031. 2004. bgnwRAL2004031.pdf 2004
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