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Examples of dual behaviour of Newton-type methods on optimization problems with degenerate constraints

机译:牛顿型方法在退化约束下优化问题对偶行为的例子

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We discuss possible scenarios of behaviour of the dual part of sequences generated by primal-dual Newton-type methods when applied to optimization problems with nonunique multipliers associated to a solution. Those scenarios are: (a) failure of convergence of the dual sequence; (b) convergence to a so-called critical multiplier (which, in particular, violates some second-order sufficient conditions for optimality), the latter appearing to be a typical scenario when critical multipliers exist; (c) convergence to a noncritical multiplier. The case of mathematical programs with complementarity constraints is also discussed. We illustrate those scenarios with examples, and discuss consequences for the speed of convergence. We also put together a collection of examples of optimization problems with constraints violating some standard constraint qualifications, intended for preliminary testing of existing algorithms on degenerate problems, or for developing special new algorithms designed to deal with constraints degeneracy.
机译:我们讨论了将原始对偶牛顿型方法生成的序列对偶部分的行为应用于与解决方案相关的非唯一乘数的优化问题时的可能情况。这些情况是:(a)对偶序列收敛失败; (b)收敛到所谓的临界乘数(特别是违反了一些最优的二阶充分条件),后者似乎是存在临界乘数的典型情况; (c)收敛到非临界乘数。还讨论了具有互补约束的数学程序的情况。我们通过示例说明这些场景,并讨论收敛速度的后果。我们还汇总了一些优化问题的示例,这些优化问题的约束违反了一些标准约束条件,旨在对退化问题进行现有算法的初步测试,或开发旨在处理约束退化的特殊新算法。

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