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A subspace SQP method for equality constrained optimization
Lee, Jae Hwa1; Jung, Yoon Mo2; Yuan, Ya-xiang3; Yun, Sangwoon4
AbstractIn 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.
KeywordEquality constrained optimization SQP method Large scale problems Subspace techniques Damped limited-memory BFGS update
Funding ProjectNational Research Foundation of Korea (NRF)[NRF-2016R1D1A1B03934371]
WOS Research AreaOperations Research & Management Science ; Mathematics
WOS SubjectOperations Research & Management Science ; Mathematics, Applied
WOS IDWOS:000476600200007
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Document Type期刊论文
Corresponding AuthorYun, Sangwoon
Affiliation1.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
Recommended Citation
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.
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