constrained nonlinear programming

Global convergence of an augmented Lagrangian method for nonlinear programming via Riemannian optimization

  • Roberto Andreani
  • Kelvin Rodrigues Couto
  • Orizon Pereira Ferreira
  • Gabriel Haeser
  • Leandro Fonseca Prudente
    • Categories Nonlinear Optimization Tags , , ,

    Considering a standard nonlinear programming problem, one may view a subset of the equality constraints as an embedded Riemannian manifold. In this paper we investigate the differences between the Euclidean and the Riemannian approach for this problem. It is well known that the linear independence constraint qualification for both approaches are equivalent. However, when considering … Read more

    A Projected-Search Interior Method for Nonlinear Optimization

  • Philip E. Gill
  • Minxin Zhang
    • Categories Constrained Nonlinear Optimization, Nonlinear Optimization Tags , , ,

    This paper concerns the formulation and analysis of a new interior method for general nonlinearly constrained optimization that combines a shifted primal-dual interior method with a projected-search method for bound-constrained optimization. The method involves the computation of an approximate Newton direction for a primal-dual penalty-barrier function that incorporates shifts on both the primal and dual … Read more

    An interior point algorithm for nonlinear minimax problems

  • Enitan Obasanjo
  • Berc Rustem
  • George Tzallas-Regas
    • Categories Constrained Nonlinear Optimization Tags , , ,

    We present a primal-dual interior point method for constrained nonlinear, discrete minimax problems where the objective functions and constraints are not necessarily convex. The algorithm uses two merit functions to ensure progress towards the points satisfying the first order optimality conditions of the original problem. Convergence properties are described and numerical results provided. CitationDept. of … Read more

    Constrained Nonlinear Programming for Volatility Estimation with GARCH Models

  • A. Altay-Salih
  • Sven Leyffer
  • Mustafa C. Pinar
    • Categories Constrained Nonlinear Optimization, Finance and Economics Tags , , ,

    The paper proposes a constrained Nonlinear Programming methodology for volatility estimation with GARCH models. These models are usually developed and solved as unconstrained optimization problems whereas they actually fit into nonlinear, nonconvex problems. Computational results on FTSE 100 and S & P 500 indices with up to 1500 data points are given and contrasted to … Read more