Successive approximation technique for a class of large-scale NLP problems and its application to dynamic programming

DOI10.1007/BF00939819MaRDI QIDQ1109685zbMATH OpenFDO

Authors S. H. Smith

Publication date 1989

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00939819

zbMATH Keywords

decomposable constraintshigh-dimensional discrete optimal controlKuhn-Tucker pointlarge-scale nonlinear programmingnonconvex optimizationsuccessive approximation techniques

Mathematics Subject Classification ID

Numerical methods based on nonlinear programming (49M37) Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Dynamic programming (90C39)

Review text

Two successive approximation techniques are presented for a class of large-scale nonlinear programming problems with decomposable constraints and a class of high-dimensional discrete optimal control problems respectively. It is shown that: (a) the accumulation point of the sequence produced by the first method is a Kuhn-Tucker point if the constraint functions are decomposable and if the uniqueness condition holds; (b) the sequence converges to an optimum solution if the objective function is strictly pseudoconvex and if the constraints functions are decomposable and quasiconcave; and (c) similar conclusions for the second method hold also for a class of discrete optimal control problems under some assumptions.

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• One-at-a-time dynamic programming over polytope

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