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: | Coleman Thomas F., Fenyes Peter A. |
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.