A primal-dual trust-region algorithm for non-convex nonlinear programming

Authors
Conn, AR Gould, NIM Orban, D Toint, PL
Citation
Ar. Conn et al., A primal-dual trust-region algorithm for non-convex nonlinear programming, MATH PROGR, 87(2), 2000, pp. 215-249
Citations number
19
Categorie Soggetti
Mathematics
Journal title
MATHEMATICAL PROGRAMMING
ISSN journal
00255610 → ACNP
Volume
87
Issue
2
Year of publication
2000
Pages
215 - 249
Database
ISI
SICI code
0025-5610(200004)87:2<215:APTAFN>2.0.ZU;2-Z
Abstract
A new primal-dual algorithm is proposed for the minimization of non-convex objective functions subject to general inequality and linear equality const raints. The method uses a primal-dual trust-region model to ensure descent on a suitable merit function. Convergence is proved to second-order critica l points from arbitrary starting points. Numerical results are presented fo r general quadratic programs.