An Unconstrained Minimization Approach to the Solution of Optimization Problems with Simple Bounds
نویسندگان
چکیده
A new method for the solution of minimization problems with simple bounds is presented. Global convergence of a general scheme requiring the solution of a single linear system at each iteration is proved and a superlinear convergence rate is established without requiring the strict complementarity assumption. The theory presented covers Newton and Quasi-Newton methods, allows rapid changes in the active set estimate and is based on a smooth unconstrained reformulation of the bound constrained problem.
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