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Saleh, Akram | 2011

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Type of Document: M.Sc. Thesis
Language: Farsi
Document No: 43256 (02)
University: Sharif University of Technology
Department: Mathematical Sciences
Advisor(s): Mahdavi Amiri, Nezameddin
Abstract:
We are concerned with describing an active-set algorithm for large-scale nonlinear programming based on the successive linear programming method proposed by Fletcher and Sainz de la Maza. The step computation is performed in two stages. In the first stage a linear program is solved to estimate the active set at the solution. The linear program is obtained by making a linear approximation to the penalty function inside a trust region. In the second stage, an equality constrained quadratic program (EQP) is solved involving only those constraints that are active at the solution of the linear program. The EQP incorporates a trust-region constraint and is solved (inexactly) by means of a projected conjugate gradient method. Numerical experiments are presented illustrating the performance of the algorithm on the CUTEr test set.
Keywords:
Trust Region ; Penalty Function ; Quadratic Approximate ; Active Set

No TOC