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Reports (Research Report) Year : 1993

A Trust region interior point algorithm for linearly constrained optimization

J. Frederic Bonnans
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Cecilia Pola
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Abstract

We present an extension for nonlinear optimization under linear constraints, of an algorithm for quadratic programming using a trust region idea, introduced by Ye and Tse and extended by Bonnans and Bouhtou. Due to the nonliearity of the cost we use a linesearch in order to reduce the step if necessary. We prove that, under suitable hypotheses, the algorithm converges to a point satisfying the first-order optimality system and we analyse under which conditions the unit stepsize will be asymptotically accepted.
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Dates and versions

inria-00074725 , version 1 (24-05-2006)

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  • HAL Id : inria-00074725 , version 1

Cite

J. Frederic Bonnans, Cecilia Pola. A Trust region interior point algorithm for linearly constrained optimization. [Research Report] RR-1948, INRIA. 1993. ⟨inria-00074725⟩
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