On the Convergence of Successive Linear Programming Algorithms (2003)
| Citations: | 4 - 1 self |
BibTeX
@TECHREPORT{Byrd03onthe,
author = {Richard H. Byrd and Nicholas I. M. Gould and Jorge Nocedal and Richard A. Waltz},
title = {On the Convergence of Successive Linear Programming Algorithms},
institution = {},
year = {2003}
}
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Abstract
We analyze the global convergence properties of a class of penalty methods for nonlinear programming. These methods include successive linear programming approaches, and more speci cally the SLP-EQP approach presented in [1]. Every iteration requires the solution of two trust region subproblems involving linear and quadratic models, respectively. The interaction between the trust regions of these subproblems requires careful consideration. It is shown under mild assumptions that there exist an accumulation point which is a critical point for the penalty function.
