Perturbation lemma for the Newton method with application to the SQP Newton method

被引:5
作者
Cores, D [1 ]
Tapia, RA
机构
[1] Venezuelan Oil Co, Res Ctr, INTEVEP, Caracas, Venezuela
[2] Rice Univ, Dept Comp & Appl Math, Houston, TX 77251 USA
[3] Rice Univ, Ctr Res Parallel Computat, Houston, TX 77251 USA
关键词
Newton's method; augmented Lagrangian; successive quadratic programming; quadratic convergence; Lagrange multiplier estimate; penalty parameter;
D O I
10.1023/A:1022622532499
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
We study the convergence of a general perturbation of the Newton method for solving a nonlinear system of equations. As an application, we show that the augmented Lagrangian successive quadratic programming is locally and q-quadratically convergent in the variable x to the solution of an equality constrained optimization problem, under a mild condition on the penalty parameter and the choice of the Lagrange multipliers.
引用
收藏
页码:271 / 280
页数:10
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