A Matrix-Free Trust-Region SQP Method for Equality Constrained Optimization

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dc.citation.firstpage1507en_US
dc.citation.issueNumber3en_US
dc.citation.journalTitleSIAM Journal on Optimizationen_US
dc.citation.lastpage1541en_US
dc.citation.volumeNumber24en_US
dc.contributor.authorHeinkenschloss, Matthiasen_US
dc.contributor.authorRidzal, Denisen_US
dc.date.accessioned2016-02-02T21:22:53Zen_US
dc.date.available2016-02-02T21:22:53Zen_US
dc.date.issued2014en_US
dc.description.abstractWe develop and analyze a trust-region sequential quadratic programming (SQP) method for the solution of smooth equality constrained optimization problems, which allows the inexact and hence iterative solution of linear systems. Iterative solution of linear systems is important in large-scale applications, such as optimization problems with partial differential equation constraints, where direct solves are either too expensive or not applicable. Our trust-region SQP algorithm is based on a composite-step approach that decouples the step into a quasi-normal and a tangential step. The algorithm includes critical modifications of substep computations needed to cope with the inexact solution of linear systems. The global convergence of our algorithm is guaranteed under rather general conditions on the substeps. We propose algorithms to compute the substeps and prove that these algorithms satisfy global convergence conditions. All components of the resulting algorithm are specified in such a way that they can be directly implemented. Numerical results indicate that our algorithm converges even for very coarse linear system solves.en_US
dc.identifier.citationHeinkenschloss, Matthias and Ridzal, Denis. "A Matrix-Free Trust-Region SQP Method for Equality Constrained Optimization." <i>SIAM Journal on Optimization,</i> 24, no. 3 (2014) SIAM: 1507-1541. http://dx.doi.org/10.1137/130921738.en_US
dc.identifier.doihttp://dx.doi.org/10.1137/130921738en_US
dc.identifier.urihttps://hdl.handle.net/1911/88308en_US
dc.language.isoengen_US
dc.publisherSIAMen_US
dc.rightsArticle is made available in accordance with the publisher's policy and may be subject to US copyright law. Please refer to the publisher's site for terms of use.en_US
dc.subject.keywordsequential quadratic programmingen_US
dc.subject.keywordtrust-regionen_US
dc.subject.keywordlarge-scale optimizationen_US
dc.subject.keywordmatrix freeen_US
dc.subject.keywordinexact linear system solversen_US
dc.subject.keywordPDE-constrained optimizationen_US
dc.subject.keywordKrylov subspace methodsen_US
dc.titleA Matrix-Free Trust-Region SQP Method for Equality Constrained Optimizationen_US
dc.typeJournal articleen_US
dc.type.dcmiTexten_US
dc.type.publicationpublisher versionen_US
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