A primal–dual trust-region algorithm for non-convex nonlinear programming

A primal–dual trust-region algorithm for non-convex nonlinear programming

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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: , , ,
Keywords: trust regions, duality
Abstract:

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.

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