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The NLP Procedure |
Since the Nelder-Mead simplex algorithm does not use
derivatives, no termination criterion is available based
on the gradient of the objective function.
Powell's COBYLA algorithm uses only one more
termination criterion. COBYLA is a trust-region algorithm
that sequentially reduces the radius of a spheric
trust region beginning from a start radius
= INSTEP to the final radius
= ABSXTOL. The default value is
. The convergence to small values
of
(high precision) may take many calls of
the function and constraint modules and may result in
numerical problems.
In some applications, the small default value of the ABSGCONV= criterion is too difficult to satisfy for some of the optimization techniques. This occurs most often when finite difference approximations of derivatives are used.
The default setting for the GCONV= option sometimes leads to early termination far from the location of the optimum. This is especially true for the special form of this criterion used in the CONGRA optimization.
The QUANEW algorithms for nonlinearly constrained
optimization does not monotonically
reduce either the value of the objective function or some
kind of merit function which combines objective and constraint
functions. Furthermore, the algorithm uses the watchdog
technique with backtracking (Chamberlain et.al. 1982).
Therefore, no termination criteria were implemented that are
based on the values (x or f) of successive iterations.
In addition to the criteria used by all optimization
techniques, three more termination criteria are currently
available, and are based on satisfying the Karush-Kuhn-Tucker conditions.
For more information, refer to the section "Criteria for Optimality",
that requires that the gradient of the Lagrange function is zero at
the optimal point :
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