Nonsmooth equation based BFGS method for solving KKT systems in mathematical programming
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The authors propose a Broyder-Fletcher-Goldfarb-Shanno method for solving the Karush-Kuhn-Tucker system of a constrained optimization problem with finitely many variables, equality and inequality constraints, where all functions are assumed to be twice continuously differentiable. The method is based on a nonsmooth equation reformulation of the KKT system in terms of the Fisher-Burmeister function. Under some conditions the method is well defined and converges globally and superlinearly to a KKT point without any convexity assumptions on the problem. This paper is clearly written and ends with a useful discussion of the method. From the paper it is not clear how restrictive the conditions are that lead to global or superlinear convergence. Imbedding of this paper in the existing research on this subject is adequate, and the paper ends with an extensive list of references.
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Cited in
(14)- Nonmonotone smoothing Broyden-like method for generalized nonlinear complementarity problems
- Solving structured nonsmooth convex optimization with complexity \(\mathcal {O}(\varepsilon ^{-1/2})\)
- A feasible method for solving the KKT system of variational inequalities
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- A quasisecant method for solving a system of nonsmooth equations
- Newton method of solving Karush-Kuhn-Tucker systems for a constrained Minimax Problem
- A norm descent BFGS method for solving KKT systems of symmetric variational inequality problems
- A derivative-free line search technique for Broyden-like method with applications to NCP, wLCP and SI
- Superlinear/quadratic smoothing Broyden-like method for the generalized nonlinear complementarity problem
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- Nonsmooth equations approach to a constrained minimax problem.
- A system of nonsmooth equations solver based upon subgradient method
- New approach for the nonlinear programming with transient stability constraints arising from power systems
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