A modified standard embedding with jumps in nonlinear optimization

Abstract

The paper deals with a combination of pathfollowing methods (embedding approach) and feasible descent direction methods (so-called jumps) for solving a non-linear optimization problem with equality and inequality constraints. Since the method that we propose here uses jumps from one connected component to another one, more than one connected component of the solution set of the corresponding one-parametric problem can be followed numerically. It is assumed that the problem under consideration belongs to a generic subset which was introduced by Jongen, Jonker and Twilt. There already exist methods of this type for which each starting point of a jump has to be an endpoint of a branch of local minimizers. In this paper the authors propose a new method by allowing a larger set of starting points for the jumps which can be constructed at bifurcation and turning points of the solution set. The topological properties of those cases where the method is not successful are analyzed and the role of constraint qualifications in this context is discussed. Furthermore,this new method is applied to a so-called modified standard embedding which is a particular construction without equality constraints. Finally, an algorithmic version of this new method as well as computational results are presented