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Constrained definite Hessians tend to be well conditioned (1981)

Stewart, G. W.

Springer

Mathematical programming 21 (1981), S. 235-238

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ISSN: 1436-4646

Keywords: Constraints ; Ill-conditioning ; Hessians

Source: Springer Online Journal Archives 1860-2000

Topics: Computer Science , Mathematics

Notes: Abstract The testing of optimization algorithms requires the running of problems with ill-conditioned Hessians. For constrained problems, it is the projection of the Hessian onto the space determined by the active constraints that must be ill conditioned. In this note it is argued that unless the Hessian and the constraints are constructed together, the constrained Hessian is likely to be well conditioned. The approach is to examine the effects of random constraints on a singular Hessian.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF01584245

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