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On attraction of Newton-type iterates to multipliers violating second-order sufficiency conditionsстатья
Статья опубликована в высокорейтинговом журнале
Информация о цитировании статьи получена из
Web of Science,
Scopus
Статья опубликована в журнале из списка Web of Science и/или Scopus
Дата последнего поиска статьи во внешних источниках: 18 июля 2013 г.
- Авторы: Izmailov A.F., Solodov M.V.
- Журнал: Mathematical Programming
- Том: 117
- Номер: 1-2
- Год издания: 2009
- Издательство: Springer Verlag
- Местоположение издательства: Germany
- Первая страница: 271
- Последняя страница: 304
- DOI: 10.1007/s10107-007-0158-9
- Аннотация: Assuming that the primal part of the sequence generated by a Newton-type (e.g., SQP) method applied to an equality-constrained problem converges to a solution where the constraints are degenerate, we investigate whether the dual part of the sequence is attracted by those Lagrange multipliers which satisfy second-order sufficient condition (SOSC) for optimality, or by those multipliers which violate it. This question is relevant at least for two reasons: one is speed of convergence of standard methods; the other is applicability of some recently proposed approaches for handling degenerate constraints. We show that for the class of damped Newton methods, convergence of the dual sequence to multipliers satisfying SOSC is unlikely to occur. We support our findings by numerical experiments.We also suggest a simple auxiliary procedure for computing multiplier estimates, which does not have this undesirable property. Finally, some consequences for the case of mixed equality and inequality constraints are discussed.
- Добавил в систему: Измаилов Алексей Феридович
Прикрепленные файлы
| № | Имя | Описание | Имя файла | Размер | Добавлен |
|---|---|---|---|---|---|
| 1. | Полный текст | fulltext.pdf | 375,2 КБ | 11 ноября 2012 [izmaf] |