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Russian Universities Reports. Mathematics, 2024, Volume 29, Issue 145, Pages 51–64
DOI: https://doi.org/10.20310/2686-9667-2024-29-145-51-64
(Mi vtamu313)
 

Scientific articles

Reduced Hessian methods as a perturbed Newton–Lagrange method

A. A. Volkova, A. F. Izmailova, E. I. Uskovb

a Lomonosov Moscow State University
b Derzhavin Tambov State University
References:
Abstract: For an equality-constrained optimization problem, we consider the possibility to interpret sequential quadratic programming methods employing the Hessian of the Lagrangian reduced to the null space of the constraints’ Jacobian, as a perturbed Newton–Lagrange method. We demonstrate that such interpretation with required estimates on perturbations is possible for certain sequences generated by variants of these methods making use of second-order corrections. This allows to establish, from a general perspective, superlinear convergence of such sequences, the property generally missing for the main sequences of the methods in question.
Keywords: equality-constrained optimization problem, sequential quadratic programming, reduced Hessian of the Lagrangian, perturbed Newton–Lagrange method framework, second-order corrections, superlinear convergence
Funding agency Grant number
Russian Science Foundation 24-21-00015
The research was supported by the Russian Science Foundation (project no. 24-21-00015, https://rscf.ru/en/project/24-21-00015/).
Received: 21.01.2024
Accepted: 11.03.2024
Document Type: Article
UDC: 519
MSC: 47J05, 65K15
Language: Russian
Citation: A. A. Volkov, A. F. Izmailov, E. I. Uskov, “Reduced Hessian methods as a perturbed Newton–Lagrange method”, Russian Universities Reports. Mathematics, 29:145 (2024), 51–64
Citation in format AMSBIB
\Bibitem{VolIzmUsk24}
\by A.~A.~Volkov, A.~F.~Izmailov, E.~I.~Uskov
\paper Reduced Hessian methods as a perturbed Newton–Lagrange method
\jour Russian Universities Reports. Mathematics
\yr 2024
\vol 29
\issue 145
\pages 51--64
\mathnet{http://mi.mathnet.ru/vtamu313}
\crossref{https://doi.org/10.20310/2686-9667-2024-29-145-51-64}
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