Primal-dual nonlinear rescaling method with dynamic scaling parameter update.

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  • Author(s): Griva, Igor; Polyak, Roman A.
  • Source:
    Mathematical Programming. Apr2006, Vol. 106 Issue 2, p237-259. 23p. 2 Diagrams, 12 Charts.
  • Additional Information
    • Subject Terms:
      NONLINEAR theories; DUALITY theory (Mathematics); ALGEBRA; MATHEMATICAL analysis; LAGRANGE equations
    • Abstract:
      In this paper we developed a general primal-dual nonlinear rescaling method with dynamic scaling parameter update (PDNRD) for convex optimization. We proved the global convergence, established 1.5-Q-superlinear rate of convergence under the standard second order optimality conditions. The PDNRD was numerically implemented and tested on a number of nonlinear problems from COPS and CUTE sets. We present numerical results, which strongly corroborate the theory. [ABSTRACT FROM AUTHOR]
    • Abstract:
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