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Sequential equality-constrained optimization for nonlinear programming

E. G. Birgin (egbirgin***at***ime.usp.br)
L. F. Bueno (lfelipebueno***at***gmail.com)
J. M. Martinez (martinez***at***ime.unicamp.br)

Abstract: A new method is proposed for solving optimization problems with equality constraints and bounds on the variables. In the spirit of Sequential Quadratic Programming and Sequential Linearly-Constrained Programming, the new method approximately solves, at each iteration, an equality-constrained optimization problem. The bound constraints are handled in outer iterations by means of an Augmented Lagrangian scheme. Global convergence of the method follows from well-established non-linear programming theories. Numerical experiments are presented.

Keywords: Nonlinear programming, Sequential Equality-Constrained Optimization, Augmented Lagrangian, numerical experiments.

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

Citation:

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Entry Submitted: 09/14/2015
Entry Accepted: 09/14/2015
Entry Last Modified: 09/14/2015

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