A Primal-Dual Trust-Region Algorithm for Minimizing a Non-convex
Function Subject to General Inequality and Linear Equality Constraints
A. R. Conn, N. I. M. Gould, D. Orban, and Ph. L. Toint
A new primal-dual algorithm is proposed for the minimization of
non-convex objective functions subject to general inequality and
linear equality constraints. The method uses a primal-dual
trust-region model to ensure descent on a suitable merit function.
Convergence is proved to second-order critical points from arbitrary
starting points. Preliminary numerical results are presented.
Technical Report RAL-TR-1999-054
Rutherford Appleton Laboratory
Chilton, Oxfordshire, England