Least-change quasi-Newton updates for equality-constrained optimization

Least-change quasi-Newton updates for equality-constrained optimization

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Article ID: iaor2001995
Country: Germany
Volume: 87
Issue: 2
Start Page Number: 317
End Page Number: 350
Publication Date: Jan 2000
Journal: Mathematical Programming
Authors: ,
Abstract:

This paper investigates quasi-Newton updates for equality-constrained optimization. Using a least-change argument we derive a class of rank-3 updates to approximations of the one-sided projection of the Hessian of the Lagrangian which keeps the appropriate part symmetric (and possibly positive definite). By imposing the usual assumptions we are able to prove 1-step superlinear convergence for one of these updates. Encouraging numerical results and comparisons with other previously analyzed updates are presented.

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