A Convergence Theory for a Class of Quasi-Newton Methods for Constrained Optimization
Abstract
In this paper we develop a general convergence theory for a class of quasi-Newton methods for equality constrained optimization. The theory is set in the framework of the diagonalized multiplier method defined by Tapia and is an extension of the theory developed by Glad. We believe that this framework is flexible and amenable to convergence analysis and generalizations. A key ingredient of a method in this class is a multiplier update. Our theory is tested by showing that a straightforward application gives the best known convergence results for several known multiplier updates. Also a characterization of q.superlinear convergence is presented. It is shown that in the special case when the diagonalized multiplier method is equivalent to the successive quadratic programming approach, our general characterization result gives the Boggs, Tolle and Wang characterization.
Document Details
- Document Type
- Technical Report
- Publication Date
- Feb 01, 1986
- Accession Number
- ADA453208
Entities
People
- Richard A. Tapia
- Rodrigo Fontecilla
- Trond Steihaug
Organizations
- University of Maryland