Computer Science Technical Reports
CS at VT

Theory of Globally Convergent Probability-One Homotopies For Nonlinear Programming

Watson, Layne T. (1999) Theory of Globally Convergent Probability-One Homotopies For Nonlinear Programming. Technical Report ncstrl.vatech_cs//TR-99-04, Computer Science, Virginia Polytechnic Institute and State University.

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For many years, globally convergent probability-one homotopy methods have been remarkably successful on difficult realistic engineering optimization problems, most of which were attacked by homotopy methods because other optimization algorithms failed or were ineffective. Convergence theory has been derived for a few particular problems, and considerable fixed point theory exists, but generally convergence theory for the homotopy maps used in practice for nonlinear constrained optimization has been lacking. This paper derives some probability-one homotopy convergence theorems for unconstrained and constrained optimization, for linear and nonlinear constraints, and with and without convexity. Some insight is provided into why the homotopies used in engineering practice are so successful, and why this success is more than dumb luck. By presenting the theory as variations on a prototype probability-one homotopy convergence theorem, the essence of such convergence theory is elucidated.

Item Type:Departmental Technical Report
Keywords:nonlinear system of equations, globally convergent algorithm, homotopy, nonlinear programming
Subjects:Computer Science > Numerical Analysis
Computer Science > Historical Collection(Till Dec 2001)
ID Code:508
Deposited By:User autouser
Deposited On:01 February 2013
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