Partitioned quasi-Newton methods for nonlinear equality constrained optimization

Partitioned quasi-Newton methods for nonlinear equality constrained optimization

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Article ID: iaor1993374
Country: Netherlands
Volume: 53
Issue: 1
Start Page Number: 17
End Page Number: 44
Publication Date: Jan 1992
Journal: Mathematical Programming (Series A)
Authors: ,
Abstract:

The authors derive new quasi-Newton updates for the (nonlinear) equality constrained minimization problem. The new updates satisfy a quasi-Newton equation, maintain positive definiteness on the null space of the active constraint matrix, and satisfy a minimum change condition. The application of the updates is not restricted to a small neighbourhood of the solution. In addition to derivation and motivational remarks, the authors discuss various numerical subtleties and provide results of numerical experiments.

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