Abstract
In this paper, an algorithm is developed for solving a nonlinear programming problem with linear contraints. The algorithm performs two major computations. First, the search vector is determined by projecting the negative gradient of the objective function on a polyhedral set defined in terms of the gradients of the equality constraints and the near binding inequality constraints. This least-distance program is solved by Lemke's complementary pivoting algorithm after eliminating the equality constraints using Cholesky's factorization. The second major calculation determines a stepsize by first computing an estimate based on quadratic approximation of the function and then finalizing the stepsize using Armijo's inexact line search.
It is shown that any accumulation point of the algorithm is a Kuhn-Tucker point. Furthermore, it is shown that, if an accumulation point satisfies the second-order sufficiency optimality conditions, then the whole sequence of iterates converges to that point. Computational testing of the algorithm is presented.
Similar content being viewed by others
References
Murtagh, B. A., andSaunders, M. A.,Large-Scale Linearly Constrained Optimization, Mathematical Programming, Vol. 14, pp. 41–72, 1978.
Wolfe, P.,Methods of Nonlinear Programming, Nonlinear Programming, Edited by J. Abadie, North Holland, Amsterdam, Holland, 1967.
Zangwill, W. I.,The Convex Simplex Method, Management Science, Vol. 14, pp. 221–283, 1967.
Shanno, D. F., andMarsten, R. E.,Conjugate Gradient Methods for Linearly Constrained Nonlinear Programming, University of Arizona, MIS Technical Report No. 79–13, 1979.
Goldfarb, D.,Extension of Davidon's Variable Metric Method to Maximization under Linear Inequality and Equality Constraints, SIAM Journal on Applied Mathematics, Vol. 17, pp. 739–764, 1969.
Gill, P. E., andMurray, W.,Methods for Large-Scale Linearly Constrained Problems, Numerical Methods for Constrained Optimization, Edited by P. E. Gill and W. Murray, Academic Press, New York, New York, 1974.
Ritter, K.,A Variable-Metric Method for Linearly Constrained Minimization, Nonlinear Programming 3, Edited by O. L. Mangasarian, R. R. Meyer, and S. M. Robinson, Academic Press, New York, New York, 1978.
Goldstein, A. A.,Convex Programming on Hilbert Space, Bulletin of the American Mathematical Society, Vol. 70, pp. 709–710, 1964.
Levitin, E. S., andPolyak, B. T.,Constrained Minimization Problems, USSR Computational Mathematics and Mathematical Physics, Vol. 6, pp. 1–50, 1966.
Bertsekas, D. P.,On the Goldstein-Levitin-Polyak Gradient Projection Method, IEEE Transactions on Automatic Control, Vol. AC-21, pp. 174–184, 1976.
Han, S. P.,A Globally Convergent Method for Nonlinear Programming, Journal of Optimization Theory and Applications, Vol. 22, pp. 297–309, 1977.
Wilson, R. B.,A Simplicial Method for Concave Programming, Harvard University, PhD Dissertation, 1963.
Lemke, C. E.,On Complementary Pivot Theory, Mathematics of the Decision Sciences, Edited by G. R. Dantzig and A. F. Veinott, 1968.
Mukai, H.,Readily Implementable Conjugate Gradient Methods, Mathematical Programming, Vol. 17, pp. 293–319, 1979.
Armijo, L.,Minimization of Functions Having Continuous Partial Derivatives, Pacific Journal of Mathematics, Vol. 16, pp. 1–3, 1966.
Wolfe, P.,On the Convergence of Gradient Methods under Constraints, IBM Journal of Research and Development, Vol. 16, pp. 407–411, 1972.
Daniel, J. W.,Stability of the Solution of Definite Quadratic Programs, Mathematical Programming, Vol. 5, pp. 41–53, 1973.
McCormick, G. P.,Second-Order Conditions for Constrained Minima, SIAM Journal on Applied Mathematics, Vol. 15, pp. 641–652, 1967.
Han, S. P., andMangasarian, O. L.,Exact Penalty Functions in Nonlinear Programming, Mathematical Programming, Vol. 17, pp. 251–269, 1979.
Bazaraa, M. S., andGoode, J. J.,An Algorithm for Linearly Constrained Nonlinear Programming Problems, Journal of Mathematical Analysis and Applications, Vol. 81, pp. 8–19, 1981.
Colville, A. R.,A Comparative Study on Nonlinear Programming Codes, IBM New York Scientific Center, Report No. 320-2949, 1968.
Himmelblau, D. M.,Applied Nonlinear Programming, John Wiley and Sons, New York, New York, 1972.
Bracken, J., andMcCormick, G. P.,Selected Applications of Nonlinear Programming, John Wiley and Sons, New York, New York, 1968.
Jones, A. P.,The Chemical Equilibrium Problem: An Application of SUMT, Research Analysis Corporation, McLean, Virginia, Report No. RAC-TP-272, 1967.
Author information
Authors and Affiliations
Additional information
Communicated by D. G. Luenberger
The work of the first author was supported under AFOSR Grant No. AFOSR-80-0195.
Rights and permissions
About this article
Cite this article
Bazaraa, M.S., Goode, J.J. A least-distance programming procedure for minimization problems under linear constraints. J Optim Theory Appl 40, 489–514 (1983). https://doi.org/10.1007/BF00933968
Issue Date:
DOI: https://doi.org/10.1007/BF00933968