摘要:

In this paper an implementation of Pantoja's and Mayne's [8] SQP method using the exactl∞-penalty function is described. Some features have been added to the original algorithm in order to increase reliability and efficiency, e.g. a dynamic scaling of problem-functions, a more sophisticated rule for updating the penalty parameter and a device for forcing boundedness of the iteration sequence. Compared with a naive implementation of the original paper's suggestions, efficiency and reliability of the algorithm have been greatly improved. Performance on a large set of testproblems is reported. Results show that the method is a competitive tool for solving general nonlinear programming problems. Because of the structure of its QP-subproblems, the method has considerable potential for large scale problems.

ISSN:1055-6788    

DOI:10.1080/10556789408805575

出版商:Gordon and Breach Science Publishers    

年代:1994

数据来源: Taylor

摘要:

In this paper, we extend the switching BFGS/DFP algorithm of Fletcher and the switching BFGS/SR1 algorithm of Al-Baali to a class of switching type algorithms proposed within the Broyden family of quasi-Newton methods for unconstrained optimization. We propose some members of this class, which switch among the BFGS, the SRI and other desirable methods from the preconvex class. The switching technique is made in a certain sense upon the basis of estimating the size of the eigenvalues of the Hessian approximation. The results on a set of standard test problems show that several switching methods improve over the BFGS method and work almost similarly to certain idealized methods.

ISSN:1055-6788    

DOI:10.1080/10556789408805576

出版商:Gordon and Breach Science Publishers    

年代:1994

数据来源: Taylor

摘要:

This paper describes an investigation into the performance of three Ada packages for automatic differentiation. Two of these implement the forward accumulation approach while the third employs reverse accumulation. Each package is used to provide gradient information required by a number of optimization calculations, including examples of unconstrained, constrained and least-squares problems. The results show how automatic differentiation methods can be influenced in practice by the size, complexity and sparsity of a problem. They also demonstrate ways in which the methods should interface with different types of optimization procedure. Finally, and perhaps most significantly, the results show how the performance of automatic differentiation codes can depend on hardware and system software considerations that are sometimes ignored by numerical mathematicians.

ISSN:1055-6788    

DOI:10.1080/10556789408805577

出版商:Gordon and Breach Science Publishers    

年代:1994

数据来源: Taylor

摘要:

Consider two variations of the method of multipliers, or classical augmented Lagrangian method for convex programming.The proximalmethod of multipliers adjoins quadratic primal proximal terms to the augmented Lagrangian, and has a stronger primal convergence theory than the standard method. On the other hand, thealternating directionmethod of multipliers, which uses a special kind of partial minimization of the augmented Lagrangian, is conducive to the derivation of decomposition methods finding application in parallel computing. This note shows convergence a method combining the features of these two variations. The method is closely related to some algorithms of Gols'shtein. A comparison of the methods helps illustrate the close relationship between previously separate bodies of Western and Soviet literature.

ISSN:1055-6788    

DOI:10.1080/10556789408805578

出版商:Gordon and Breach Science Publishers    

年代:1994

数据来源: Taylor

ISSN:1055-6788    

DOI:10.1080/10556789408805574

出版商:Gordon and Breach Science Publishers    

年代:1994

数据来源: Taylor