The regularization continuation method for optimization problems with nonlinear equality constraints

DOI10.1007/S10915-024-02476-7MaRDI QIDQ6196231zbMATH OpenFDO

Authors Xinlong Luo, Hang Xiao, Sen Zhang

Publication date 14 March 2024

Published in Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2303.14692

zbMATH Keywords

continuation methodpreconditioned techniquequasi-Newton methodregularization techniqueSherman-Morrison-Woodbury formulatrust-region method

Mathematics Subject Classification ID

Preconditioners for iterative methods (65F08) Ill-posedness and regularization problems in numerical linear algebra (65F22) Numerical optimization and variational techniques (65K10)

Abstract: This paper considers the regularization continuation method and the trust-region updating strategy for the nonlinearly equality-constrained optimization problem. Namely, it uses the inverse of the regularization quasi-Newton matrix as the pre-conditioner to improve its computational efficiency in the well-posed phase, and it adopts the inverse of the regularization two-sided projection of the Hessian as the pre-conditioner to improve its robustness in the ill-conditioned phase. Since it only solves a linear system of equations at every iteration and the sequential quadratic programming (SQP) needs to solve a quadratic programming subproblem at every iteration, it is faster than SQP. Numerical results also show that it is more robust and faster than SQP (the built-in subroutine fmincon.m of the MATLAB2020a environment and the subroutine SNOPT executed in GAMS v28.2 (2019) environment). The computational time of the new method is about one third of that of fmincon.m for the large-scale problem. Finally, the global convergence analysis of the new method is also given.

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