不等式约束优化一个可行序列线性方程组算法

doi:10.15960/j.cnki.issn.1007-6093.2015.04.005

Abstract

Abstract:

In this paper, a feasible sequential systems of linear equations algorithm for inequality constrained optimization is proposed. At each iteration, the proposed algorithm solves only two systems of linear equations with a same coefficient matrix to obtain the feasible descent direction. Furthermore, the sparsity of the coefficient matrix is good. Under some necessary assumptions, the algorithm possesses global and strong convergence. Finally, some preliminary numerical
experiments are reported to show that the algorithm is effective.

Key words: inequality constrained optimization, sequential systems of linear equations algorithm, global convergence, strong convergence

MA Guodong, JIAN Jinbao. A feasible sequential systems of linear equations algorithm for inequality constrained optimization[J]. Operations Research Transactions, 2015, 19(4): 48-58.

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A feasible sequential systems of linear equations algorithm for inequality constrained optimization

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