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Constrained Optimization

C. Brechbühler
BIWI-TR-166, 1995
Swiss Federal Institute of Technology, Communication Technology Laboratory, Image Science


A method is presented for the solution of nonlinear optimization problems with nonlinear equality and inequality constraints. It is applicable to large sparse problems. The proposed method employs an active set strategy for handling inequalities. It concurrently uses the Newton-Raphson scheme to solve the constraint equations and Conjugate Gradients to minimize the augmented Lagrangian function. The former uses the subspace spanned by the constraint gradients, the latter in its orthogonal complement.

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  author = {C. Brechb\"uhler},
  title = {Constrained Optimization},
  year = {1995},
  number = {BIWI-TR-166},
  institution = {Swiss Federal Institute of Technology, Communication Technology Laboratory, Image Science},
  keywords = {optimization, deformable, non-linear}