
Summary: This paper describes a reduced quasi-Newton method for solving equality constrained optimization problems. A major difficulty encountered by this type of algorithm is the design of a consistent technique for maintaining the positive definiteness of the matrices approximating the reduced Hessian of the Lagrangian. A new approach is proposed in this paper. The idea is to search for the next iterate along a piecewise linear path. The path is designed so that some generalized Wolfe conditions can be satisfied. These conditions allow the algorithm to sustain the positive definiteness of the matrices from iteration to iteration by a mechanism that has turned out to be efficient in unconstrained optimization.
reduced quasi-Newton method, Wolfe's conditions, successive quadratic programming, Quadratic programming, exact penalty function, SQP, constrained optimization, [INFO.INFO-OH] Computer Science [cs]/Other [cs.OH], global convergence, piecewise line-search, Numerical mathematical programming methods, Other numerical methods in calculus of variations
reduced quasi-Newton method, Wolfe's conditions, successive quadratic programming, Quadratic programming, exact penalty function, SQP, constrained optimization, [INFO.INFO-OH] Computer Science [cs]/Other [cs.OH], global convergence, piecewise line-search, Numerical mathematical programming methods, Other numerical methods in calculus of variations
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