A New Trust-Region Algorithm for Equality Constrained Optimization

Authors:
Thomas F. Coleman;Jianguo Liu;Wei Yuan
Affiliations:
Computer Science Department and Center for Applied Mathematics, Cornell University, Ithaca, NY 14850, USA;Department of Mathematics, University of North Texas, Denton, TX 76203, USA;Center for Applied Mathematics, Cornell University, Ithaca, NY 14853, USA
Venue:
Computational Optimization and Applications
Year:
2002

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Abstract

We present a new trust-region algorithm for solving nonlinear equality constrained optimization problems. Quadratic penalty functions are employed to obtain global convergence. At each iteration a local change of variables is performed to improve the ability of the algorithm to follow the constraint level set. Under certain assumptions we prove that this algorithm globally converges to a point satisfying the second-order necessary optimality conditions. Results of preliminary numerical experiments are reported.