Displaying similar documents to “The second-order methods in discrete optimal control problems”

Primal interior point method for minimization of generalized minimax functions

Ladislav Lukšan, Ctirad Matonoha, Jan Vlček (2010)

Kybernetika

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In this paper, we propose a primal interior-point method for large sparse generalized minimax optimization. After a short introduction, where the problem is stated, we introduce the basic equations of the Newton method applied to the KKT conditions and propose a primal interior-point method. (i. e. interior point method that uses explicitly computed approximations of Lagrange multipliers instead of their updates). Next we describe the basic algorithm and give more details concerning...

An accurate active set Newton algorithm for large scale bound constrained optimization

Li Sun, Guoping He, Yongli Wang, Changyin Zhou (2011)

Applications of Mathematics

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A new algorithm for solving large scale bound constrained minimization problems is proposed. The algorithm is based on an accurate identification technique of the active set proposed by Facchinei, Fischer and Kanzow in 1998. A further division of the active set yields the global convergence of the new algorithm. In particular, the convergence rate is superlinear without requiring the strict complementarity assumption. Numerical tests demonstrate the efficiency and performance of the...

An active set strategy based on the multiplier function or the gradient

Li Sun, Liang Fang, Guoping He (2010)

Applications of Mathematics

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We employ the active set strategy which was proposed by Facchinei for solving large scale bound constrained optimization problems. As the special structure of the bound constrained problem, a simple rule is used for updating the multipliers. Numerical results show that the active set identification strategy is practical and efficient.