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|Title: ||On the Local Convergence of a Quasi-Newton Method for the Nonlinear Programming Problem|
|Authors: ||Coleman, Thomas F.|
Conn, Andrew R.
|Keywords: ||computer science|
|Issue Date: ||Aug-1982|
|Publisher: ||Cornell University|
|Abstract: ||In this paper we propose a new local quasi-Newton method to solve the equality constrained non-linear programming problem. The pivotal feature of the algorithm is that a projection of the Hessian of the Lagrangian is approximated by a sequence of symmetric positive definitive matrices. The matrix approximation is updated at every iteration by a projected version of the DFP or BFGS formula. We establish that the method is locally convergent and the sequence of x-values converges to the solution at a 2-step Q-superlinear rate.|
|Appears in Collections:||Computer Science Technical Reports|
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