Abstract
A new method is presented for finding a local optimum of the equality constrained nonlinear programming problem. A nonlinear autonomous system is introduced as the base of the theory instead of usual approaches. The relation between critical points and local optima of the original optimization problem is proved. Asymptotic stability of the critical points is also proved. A numerical algorithm which is capable of finding local optima systematically at the quadratic rate of convergence is developed from a detailed analysis of the nature of trajectories and critical points. Some numerical results are given to show the efficiency of the method.
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Yamashita, H. A differential equation approach to nonlinear programming. Mathematical Programming 18, 155–168 (1980). https://doi.org/10.1007/BF01588311
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DOI: https://doi.org/10.1007/BF01588311