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1.5-Q-superlinear convergence of an exterior-point method for constrained optimization

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Abstract

We introduce and analyze an exterior-point method (EPM) for constrained optimization problems with both inequality constraints and equations. We show that under the standard second-order optimality conditions the EPM converges to the primal–dual solution with 1.5-Q-superlinear rate.

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Authors and Affiliations

  1. Department of Mathematical Sciences and School of Computational Sciences, George Mason University, Fairfax, VA, 22030, USA

    Igor Griva

  2. Department of SEOR and Mathematical Sciences, George Mason University, Fairfax, VA, 22030, USA

    Roman A. Polyak

Authors
  1. Igor Griva
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  2. Roman A. Polyak
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Correspondence to Igor Griva.

Additional information

Dedicated to Professor Gil Strang on the occasion on his 70th birthday.

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Griva, I., Polyak, R.A. 1.5-Q-superlinear convergence of an exterior-point method for constrained optimization. J Glob Optim 40, 679–695 (2008). https://doi.org/10.1007/s10898-006-9117-x

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  • DOI: https://doi.org/10.1007/s10898-006-9117-x

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