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The characterization of Q-superlinear convergence of methods for constrained optimization

Paul T. Boggs, Jon W. Tolle, Pyng Wang

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Abstract

We consider the application of a general class of quasi-Newton methods to the solution of the classical equality constrained nonlinear optimization problem. Specifically, we develop necessary and sufficient conditions for the Q-superlinear convergence of such methods and present a companion linear convergence theorem. The essential conditions relate to the manner in which the Hessian of the Lagangian function is approximated. For convex programs the Q-superlinear convergence is obtained.

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We consider the application of a general class of quasi-Newton methods to the solution of the classical equality constrained nonlinear optimization problem. Specifically, we develop necessary and sufficient conditions for the Q-superlinear convergence of such methods and present a companion linear convergence theorem. The essential conditions relate to the manner in which the Hessian of the Lagangian function is approximated. For convex programs the Q-superlinear convergence is obtained.

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Available abstract

We consider the application of a general class of quasi-Newton methods to the solution of the classical equality constrained nonlinear optimization problem. Specifically, we develop necessary and sufficient conditions for the Q-superlinear convergence of such methods and present a companion linear convergence theorem. The essential conditions relate to the manner in which the Hessian of the Lagangian function is approximated. For convex programs the Q-superlinear convergence is obtained.

Key concepts: Hessian matrix, Convergence (economics), Mathematics, Constrained optimization, Applied mathematics, Constrained optimization problem, Compact convergence, Mathematical optimization

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