Article ID: | iaor19992586 |
Country: | Netherlands |
Volume: | 80 |
Issue: | 3 |
Start Page Number: | 283 |
End Page Number: | 313 |
Publication Date: | Feb 1998 |
Journal: | Mathematical Programming |
Authors: | Monteiro Renato D.C., Wang Yanhui |
Keywords: | trust regions |
We study a trust region affine scaling algorithm for solving the linearly constrained convex or concave programming problem. Under primal nondegeneracy assumption, we prove that every accumulation point of the sequence generated by the algorithm satisfies the first order necessary condition for optimality of the problem. For a special class of convex or concave funtions satisfying a certain invariance condition on their Hessians, it is shown that the sequences of iterates and objective function values generated by the algorithm converge