Title :
A Smoothing Active-Set Newton Method for Constrained Optimization
Author_Institution :
Sch. of Math. & Inf., Shanghai Lixin Univ. of Commerce, Shanghai, China
Abstract :
In this paper, a smoothing Newton-type method for solving constrained optimization is presented. This method uses smoothing Newton method to solve the KKT system of the original problems. A kind of active-set technology is introduced to identify the inequality constraints which does not satisfies the strict complementarity conditions. The proposed method has the global convergence to the KKT point. Under some regularity assumption, the degenerate indices can be identified correctly near the solution, and local super linear convergence is obtained without strict complementarity.
Keywords :
Newton method; convergence of numerical methods; optimisation; KKT system; constrained optimization; global convergence; inequality constraints; local superlinear convergence; regularity assumption; smoothing active-set Newton method; Convergence; Equations; Indexes; Jacobian matrices; Newton method; Optimization; Smoothing methods; KKT system; active-set technology; global convergence; local superlinear convergence;
Conference_Titel :
Computational Sciences and Optimization (CSO), 2012 Fifth International Joint Conference on
Conference_Location :
Harbin
Print_ISBN :
978-1-4673-1365-0
DOI :
10.1109/CSO.2012.95
