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Strong uniqueness in sequential linear programming

Published online by Cambridge University Press:  17 February 2009

M. R. Osborne  and
R. S. Womersley
M. R. Osborne
Affiliation:
Statistics Research Section, Mathematical Sciences School, Australian National University, Canberra, A.C.T. 2601, Australia.
R. S. Womersley
Affiliation:
School of Mathematics, University of New South Wales, Kensington, N.S.W. 2033, Australia.
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Abstract

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It is known that strong uniqueness can be used to prove second order convergence of the generalised Gauss-Newton algorithm. Formally this algorithm includes sequential linear programming as a special case. Here we show that the second order convergence result extends when the sequential linear programming algorithm is formulated appropriately. Also this discussion provides an example which shows that the assumption of Lipschitz continuity is necessary for the second order convergence result based on strong uniqueness.

Type
Research Article
Information
The ANZIAM Journal , Volume 31 , Issue 4 , April 1990 , pp. 379 - 384
Copyright
Copyright © Australian Mathematical Society 1990

References

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