A Global Convergence Theory for the Celis-Dennis-Tapia Trust Region Algorithm for Constrained Optimization
RICE UNIV HOUSTON TX DEPT OF MATHEMATICAL SCIENCES
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A global convergence theory for a class of trust-region algorithms for solving the equality constrained optimization problem is presented. This theory is suffidently general that it holds for any algorithm that generates steps that give at least a fraction of Cauchy decrease in the quadratic model of the con- straints and uses the augmented Lagrangian as a merit function. This theory is used to establish global convergence of the 1g84 Celis-Dennis-Tapia algorithm with a different scheme for updating the penalty parameter. The behavior of the penalty parameter is also discussed.
- Numerical Mathematics