Least-change quasi-Newton updates for equality-constrained optimization

Citation
M. Wagner et Mj. Todd, Least-change quasi-Newton updates for equality-constrained optimization, MATH PROGR, 87(2), 2000, pp. 317-350
Citations number
28
Categorie Soggetti
Mathematics
Journal title
MATHEMATICAL PROGRAMMING
ISSN journal
00255610 → ACNP
Volume
87
Issue
2
Year of publication
2000
Pages
317 - 350
Database
ISI
SICI code
0025-5610(200004)87:2<317:LQUFEO>2.0.ZU;2-0
Abstract
This paper investigates quasi-Newton updates for equality-constrained optim ization. Using a least-change argument we derive a class of rank-3 updates to approximations of the one-sided projection of the Hessian of tho Lagrang ian which keeps the appropriate part symmetric (and possibly positive defin ite). By imposing the usual assumptions we are able to prove 1-step superli near convergence for one of these updates. Encouraging numerical results an d comparisons with other previously analyzed updates are presented.