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A Sequential Linear...
A Sequential Linear Programming Algorithm with Multi-dimensional Search : Derivation and Convergence
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- Daneva (Mitradjieva), Maria (author)
- Linköpings universitet,Optimeringslära,Tekniska högskolan
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- Göthe-Lundgren, Maud (author)
- Linköpings universitet,Optimeringslära,Tekniska högskolan
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- Larsson, Torbjörn (author)
- Linköpings universitet,Optimeringslära,Tekniska högskolan
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- Patriksson, Michael (author)
- Mathematical Sciences, Chalmers University of Technology and Göteborg University, Gothenburg, Sweden
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- Rydergren, Clas (author)
- Linköpings universitet,Institutionen för teknik och naturvetenskap,Tekniska högskolan
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(creator_code:org_t)
- 2007
- 2007
- English.
- Related links:
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http://urn.kb.se/res...
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https://urn.kb.se/re...
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Abstract
Subject headings
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- We present a sequential linear programming, SLP, algorithm in which the traditional line-search step is replaced by a multi-dimensional search. The algorithm is based on inner approximations of both the primal and dual spaces, which yields a method which in the primal space combines column and constraint generation. The algorithm does not use a merit function, and the linear programming subproblem of the algorithm differs from the one obtained in traditional methods of this type, in the respect that linearized constraints are taken into account only implicitly in a Lagrangiandual fashion. Convergence to a point that satisfies the Karush-Kuhn-Tucker conditions is established. We apply the new method to a selection of the Hoch-Schittkowski’s nonlinear test problems and report a preliminary computational study in a Matlab environment. Since the proposed algorithmcombines column and constraint generation, it should be advantageous with large numbers of variables and constraints.
Subject headings
- NATURVETENSKAP -- Matematik (hsv//swe)
- NATURAL SCIENCES -- Mathematics (hsv//eng)
Keyword
- MATHEMATICS
- MATEMATIK
Publication and Content Type
- vet (subject category)
- art (subject category)
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