Mathematical Programming

, Volume 11, Issue 1, pp 67-80

First online:

Feasible directions algorithms for optimization problems with equality and inequality constraints

  • D. Q. MayneAffiliated withImperial College of Science and Technology
  • , E. PolakAffiliated withUniversity of California

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In this paper two algorithms, of the feasible-directions and dual feasible-directions type, are presented for optimization problems with equality and inequality constraints. An associated problem, having only inequality constraints, is defined, and shown to be equivalent to the original problem if a certain parameter is sufficiently large. The algorithms solve the associated problem, but incorporate a method for automatically increasing this parameter in order to ensure global convergence to a solution to the original problem. Any feasible directions algorithm can be similarly modified to enable it to handle equality constraints.