Article ID: | iaor20011049 |
Country: | Germany |
Volume: | 87 |
Issue: | 2 |
Start Page Number: | 215 |
End Page Number: | 249 |
Publication Date: | Jan 2000 |
Journal: | Mathematical Programming |
Authors: | Conn A.R., Gould N.I.M., Toint P.L., Orban D. |
Keywords: | trust regions, duality |
A new primal–dual algorithm is proposed for the minimization of non-convex objective functions subject to general inequality and linear equality constraints. The method uses a primal–dual trust-region model to ensure descent on a suitable merit function. Convergence is proved to second-order critical points from arbitrary starting points. Numerical results are presented for general quadratic programs.