A Homotopy Approach for Solving Constrained Optimization Problems
Files
TR Number
TR-88-50
Date
1988
Journal Title
Journal ISSN
Volume Title
Publisher
Department of Computer Science, Virginia Polytechnic Institute & State University
Abstract
A homotopy approach for solving constrained parameter optimization problems is examined. The first order necessary conditions, with the complementavity conditions represented using a technique due to Mangasarian, are solved. The equations are augmented to avoid singularities which occur when the active constraint changes. The Chow -Torke algorithm is used to track the homotopy path leading to the solution to the desired problem at the terminal point. A simple example which illustrates the technique, and an application to a fuel optimal orbital transfer problem are presented.