A piecewise line-search technique for maintaining the positive definiteness of the matrices in the SQP method - Inria - Institut national de recherche en sciences et technologies du numérique Access content directly
Journal Articles Computational Optimization and Applications Year : 2000

A piecewise line-search technique for maintaining the positive definiteness of the matrices in the SQP method

Paul Armand
Jean Charles Gilbert

Abstract

A technique for maintaining the positive definiteness of the matrices in the quasi-Newton version of the SQP algorithm is proposed. In our algorithm, approximations of the Hessian of the augmented Lagrangian are updated. The positive definiteness of these matrices in the space tangent to the constraint manifold is ensured by a piecewise line-search technique, while their positive definiteness in a decoupled complementary subspace is obtained by setting the augmentation parameter. The combination of these two ideas makes the new approach more robust in our experiment with respect to existing approaches
Fichier principal
Vignette du fichier
RR-2615.pdf (358.83 Ko) Télécharger le fichier

Dates and versions

inria-00074070 , version 1 (24-05-2006)

Licence

Attribution

Identifiers

Cite

Paul Armand, Jean Charles Gilbert. A piecewise line-search technique for maintaining the positive definiteness of the matrices in the SQP method. Computational Optimization and Applications, 2000, 16, pp.121-158. ⟨10.1023/A:1008701324575⟩. ⟨inria-00074070⟩
92 View
74 Download

Altmetric

Share

Gmail Facebook Twitter LinkedIn More