A subspace SQP method for equality constrained optimization

doi:10.1007/s10589-019-00109-6

	A subspace SQP method for equality constrained optimization
	Lee, Jae Hwa 1; Jung, Yoon Mo 2; Yuan, Ya-xiang3 ; Yun, Sangwoon 4
	2019-09-01
发表期刊	COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
ISSN	0926-6003
卷号	74 期号:1 页码:177-194
摘要	In this paper, we present a subspace method for solving large scale nonlinear equality constrained optimization problems. The proposed method is based on a SQP method combined with the limited-memory BFGS update formula. Each subproblem is solved in a theoretically suitable subspace. In the case of few constraints, we show that our search direction in the subspace is equivalent to that of the SQP subproblem in the full space. In the case of many constraints, we reduce the number of constraints in the subproblem and we show that the solution of the subspace subproblem is a descent direction of a particular exact penalty function. Global convergence properties of the proposed method are given for both cases. Numerical results are given to illustrate the soundness of the proposed model.
关键词	Equality constrained optimization SQP method Large scale problems Subspace techniques Damped limited-memory BFGS update
DOI	10.1007/s10589-019-00109-6
语种	英语
资助项目	National Research Foundation of Korea (NRF)[NRF-2016R1D1A1B03934371]
WOS研究方向	Operations Research & Management Science ; Mathematics
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000476600200007
出版者	SPRINGER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/35282
专题	计算数学与科学工程计算研究所
通讯作者	Yun, Sangwoon
作者单位	1.Sungkyunkwan Univ, AORC, Suwon 16419, South Korea 2.Sungkyunkwan Univ, Dept Math, Suwon 16419, South Korea 3.Chinese Acad Sci, AMSS, ICMSEC, State Key Lab Sci & Engn Comp, Beijing 100190, Peoples R China 4.Sungkyunkwan Univ, Dept Math Educ, Seoul 03063, South Korea
推荐引用方式 GB/T 7714	Lee, Jae Hwa,Jung, Yoon Mo,Yuan, Ya-xiang,et al. A subspace SQP method for equality constrained optimization[J]. COMPUTATIONAL OPTIMIZATION AND APPLICATIONS,2019,74(1):177-194.
APA	Lee, Jae Hwa,Jung, Yoon Mo,Yuan, Ya-xiang,&Yun, Sangwoon.(2019).A subspace SQP method for equality constrained optimization.COMPUTATIONAL OPTIMIZATION AND APPLICATIONS,74(1),177-194.
MLA	Lee, Jae Hwa,et al."A subspace SQP method for equality constrained optimization".COMPUTATIONAL OPTIMIZATION AND APPLICATIONS 74.1(2019):177-194.