The nonlinear programming method of Wilson, Han, and Powell with an augmented Lagrangian type line search function. II. An efficient implementation with linear least squares subproblems

DOI10.1007/BF01395811MaRDI QIDQ790581zbMATH OpenOpenAlexFDO

Authors Klaus Schittkowski

Publication date 1981

Published in Numerische Mathematik (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/132751

zbMATH Keywords

inverse update techniqueleast square formulationline search functionnumerical experimentsnumerical performancequadratic subproblem

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30)

Review text

[For part I see ibid. 38, 83-114 (1981; reviewed above).] This paper presents the results of numerical experiments for different versions of the method of R. B. Wilson, S.-P. Han and M. J. D. Powell. The following topics are studied and tested: the influence of the line search function on the numerical performance, the effect of a least square formulation of the quadratic subproblem, the dependence of the performance from different solution methods for the least squares subproblem, the usage of numerical differentiation, and the effect of an inverse update technique.

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• A factorization method for the solution of constrained linear least squares problems allowing subsequent data changes
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