1.5-Q-superlinear convergence of an exterior-point method for constrained optimization

Authors:
Igor Griva;Roman A. Polyak
Affiliations:
Department of Mathematical Sciences and School of Computational Sciences, George Mason University, Fairfax, USA 22030;Department of SEOR and Mathematical Sciences, George Mason University, Fairfax, USA 22030
Venue:
Journal of Global Optimization
Year:
2008

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Abstract

We introduce and analyze an exterior-point method (EPM) for constrained optimization problems with both inequality constraints and equations. We show that under the standard second-order optimality conditions the EPM converges to the primal---dual solution with 1.5-Q-superlinear rate.