Abstract
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.
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Research sponsored by the US Army Research Office — Durham, Contract DAHCO4-73-C-0025 and the National Science Foundation Grant GK-37572.
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Mayne, D.Q., Polak, E. Feasible directions algorithms for optimization problems with equality and inequality constraints. Mathematical Programming 11, 67–80 (1976). https://doi.org/10.1007/BF01580371
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DOI: https://doi.org/10.1007/BF01580371