A primal-dual nonlinear rescaling method with dynamic scaling parameter update

  • Igor Griva
  • Roman Polyak
    • Categories Constrained Nonlinear Optimization Tags , , , , Short URL: https://optimization-online.org/?p=9563

    In this paper we developed a general primal-dual nonlinear rescaling method with dynamic scaling parameter update (PDNRD) for convex optimization. We proved the global convergence, established 1.5-Q-superlinear rate of convergence under the standard second order optimality conditions. The PDNRD was numerically implemented and tested on a number of nonlinear problems from COPS and CUTE sets. We present numerical results, which strongly corroborate the theory.

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    Technical Report SEOR-11-02, SEOR Department, George Mason University, Fairfax, VA 22030

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