Theory of functional connections applied to quadratic and nonlinear programming under equality constraints
arXiv:1910.04917 · doi:10.1016/j.cam.2021.113912
Abstract
This paper introduces an efficient approach to solve quadratic and nonlinear programming problems subject to linear equality constraints via the Theory of Functional Connections. This is done without using the traditional Lagrange multiplier technique. More specifically, two distinct expressions (fully satisfying the equality constraints) are provided, to first solve the constrained quadratic programming problem as an unconstrained one for closed-form solution. Such expressions are derived via using an optimization variable vector, which is called the free vector by the Theory of Functional Connections. In the spirit of this Theory, for the equality constrained nonlinear programming problem, its solution is obtained by the Newton's method combining with elimination scheme in optimization. Convergence analysis is supported by a numerical example for the proposed approach.
arXiv comment34 pages, 1 figure, 3 tables, revision. This is the accepted manuscript by Journal of Computational and Applied Mathematics (2021). The published journal article is available at https://doi.org/10.1016/j.cam.2021.113912 (2021)
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