Operations Research Proceedings 1994 pp 33-38 | Cite as
A Newton-Type Algorithm for the Solution of Inequality Constrained Minimization Problems
Conference paper
Summary
We describe a new Newton-type algorithm for the solution of inequality constrained minimization problems. The algorithm is based on an active-set strategy and, at each iteration, only requires the solution of one linear system. Under mild assuptions, and without requiring strict complementarity, we prove q-quadratic convergence of the primal variables towards the solution.
Keywords
Local Algorithm Active Constraint Multiplier Function Strict Complementarity Exact Penalty Function
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© Springer-Verlag Berlin Heidelberg 1995