On the Local and Global Convergence of a Reduced Quasi-Newton Method

Gilbert JC (1987). On the Local and Global Convergence of a Reduced Quasi-Newton Method. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-87-113

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Abstract

In optimization in R^n with m nonlinear equality constraints, we study the local convergence of reduced quasi-Newton methods, in which the updated matrix is of order n-m. In particular, we give necessary and sufficient conditions for q-superlinear convergence (in one step). We introduce a device to globalize the local algorithm which consists in determining a step on an arc in order to decrease an exact penalty function. We give conditions so that asymptotically the step will be equal to one.

Item Type: Monograph (IIASA Working Paper)
Research Programs: System and Decision Sciences - Core (SDS)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 01:57
Last Modified: 18 Nov 2016 18:39
URI: http://pure.iiasa.ac.at/2939

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