Analysis of Inexact Trust-Region Interior-Point SQP Algorithms

Analysis of Inexact Trust-Region Interior-Point SQP Algorithms (1995)

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by Matthias Heinkenschloss , Luís N. Vicente

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Datum	Value	Source
TITLE	Analysis of Inexact Trust-Region Interior-Point SQP Algorithms	user correction - Legacy Corrections
AUTHOR NAME	Matthias Heinkenschloss	user correction
AUTHOR ADDR	6100 Main Street; Houston, TX 77005--1892	user correction
AUTHOR NAME	Luís N. Vicente	user correction
AUTHOR AFFIL	Department of Computational and Applied Mathematics; MS 134; Rice University	user correction
AUTHOR ADDR	6100 Main Street; Houston, TX 77005--1892	user correction
ABSTRACT	In this paper we analyze inexact trust-region interior-point (TRIP) sequential quadratic programming (SQP) algorithms for the solution of optimization problems with nonlinear equality constraints and simple bound constraints on some of the variables. Such problems arise in many engineering applications, in particular in optimal control problems with bounds on the control. The nonlinear constraints often come from the discretization of partial differential equations. In such cases the calculation of derivative information and the solution of linearized equations is expensive. Often, the solution of linear systems and derivatives are computed inexactly yielding nonzero residuals. This paper analyzes the effect of the inexactness onto the convergence of TRIP SQP and gives practical rules to control the size of the residuals of these inexact calculations. It is shown that if the size of the residuals is of the order of both the size of the constraints and the trust-region radius, t...	user correction
YEAR	1995	user correction
VENUE TYPE	TECHREPORT	INFERENCE
TECH	Tech. Rep. TR95--18	INFERENCE
CITATIONS	52 found	ParsCit 1.0