摘要
线性互补约束优化是一类特殊的非线性优化问题,利用广义互补函数将其转换为含参数μ的光滑非线性约束优化问题,然后利用牛顿步和积极集思想改写光滑非线性问题的KKT条件,得到一个线性方程组。经过适当讨论,使得每次迭代仅需求解低维线性方程组,从而进一步减小了计算量。
Mathematical programs with linear complementarity constraints are a special kind of nonlinear optimization problem. Through introducing generalized complementary function, the original problem is transformed into a smoothing nonlinear constraint problem containing Parameter μ. Then, using Newton iteration and active set strategy, the KKT systems of the nonlinear problem are changed as a system of linear equations. After some discussion, we only need solving a system of linear equations with lower dimension under appreciate condition. Thus the cost of computation becomes smaller.
出处
《桂林电子科技大学学报》
2008年第4期327-329,共3页
Journal of Guilin University of Electronic Technology
基金
国家自然科学基金项目(0501009)
广西自然科学基金项目(桂科自0728206)
关键词
线性互补约束
牛顿步
积极集策略
KKT条件
linear complementary constraints
Newton method
Active set strategy
KKT condition
