The Algorithm of Sequential KKT Equations by Nonmonotone Search for Arbitrary Initial Point

Authors:
Yifan Xu;Wei Wang;Ziyou Gao
Affiliations:
School of Management, Fudan University, Shanghai, 200433, P.R. China. yifanxu@online.sh.cn;Department of Applied Mathematics, Tongji University, Shanghai, 200092, P.R. China;Northern Jiaotong University, Beijing, 100044, P.R. China
Venue:
Computational Optimization and Applications
Year:
2001

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Abstract

In this paper, a new algorithm for arbitrary initial point is proposed. The feature of the algorithm is that only KKT equations are solved in each iteration which greatly decreases the amount of computation. Under some proper assumptions, the algorithm is globally and superlinearly convergent.