Name
Title | ||
|---|---|---|
On attraction of Newton-type iterates to multipliers violating second-order sufficiency conditions |
Abstract | ||
|---|---|---|
Assuming that the primal part of the sequence generated by a Newton-type (e.g., SQP) method applied to an equality-constrained problem converges to a solution where the constraints are degenerate, we investigate whether the dual part of the sequence is attracted by those Lagrange multipliers which satisfy second-order sufficient condition (SOSC) for optimality, or by those multipliers which violate it. This question is relevant at least for two reasons: one is speed of convergence of standard methods; the other is applicability of some recently proposed approaches for handling degenerate constraints. We show that for the class of damped Newton methods, convergence of the dual sequence to multipliers satisfying SOSC is unlikely to occur. We support our findings by numerical experiments. We also suggest a simple auxiliary procedure for computing multiplier estimates, which does not have this undesirable property. Finally, some consequences for the case of mixed equality and inequality constraints are discussed. |
Year | DOI | Venue |
|---|---|---|
2009 | 10.1007/s10107-007-0158-9 | Math. Program. |
Keywords | Field | DocType |
degenerate constraints · second-order sucient,multiplier estimate,equality-constrained problem converges,newton method,primal part,lagrange multiplier,dual sequence,inequality constraint,newton-type iterates,numerical experiment,mixed equality,dual part,second-order sufficiency condition,satisfiability,second order | Convergence (routing),Degenerate energy levels,Mathematical optimization,Lagrange multiplier,Constraint algorithm,Multiplier (economics),Sequential quadratic programming,Iterated function,Mathematics,Newton's method | Journal |
Volume | Issue | ISSN |
117 | 1 | 1436-4646 |
Citations | PageRank | References |
18 | 0.98 | 17 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| A. F. Izmailov | 1 | 238 | 21.76 |
| M. V. Solodov | 2 | 600 | 72.47 |