Abstract
We show that Tapia's quasi-Newton diagonalized approach to constrained minimization can be formulated in such a way that no linear systems have to be solved of dimension larger than the natural ones or which present singularities. Numerical experiments indicate fast local convergence, but also substantial difficulties of global convergence.
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References
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Communicated by R. A. Tapia
This work was supported by the National Science Council of Italy in the framework of the SOFTMAT project. Part of the work was done during visits at the Computer Science Department, Stanford University, and at the Numerical Optimization Centre, Hatfield Polytechnic; the author thanks Prof. G. Golub and Prof. L. Dixon for providing a stimulating atmosphere. Thanks are also due to Dr. M. Bertocchi, University of Bergamo, for collaboration in performing the numerical experiments.
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Spedicato, E. On a Newton-like method for constrained nonlinear minimization via slack variables. J Optim Theory Appl 36, 175–190 (1982). https://doi.org/10.1007/BF00933828
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DOI: https://doi.org/10.1007/BF00933828