Newton Methods for Large-Scale Linear Equality-Constrained Minimization

Abstract

Newton methods for large-scale minimization subject to linear equality constraints are discussed. For large-scale problems, it may be prohibitively expensive to reduce the problem to an unconstrained problem in the null space of the constraint matrix. We investigate computational schemes that enable the computation of descent directions and directions of negative curvature without the need to know the null-space matrix. The schemes are based on factorizing a sparse symmetric indefinite matrix. Three different methods are proposed based on the schemes described for computing the search directions. Convergence properties for the methods are established.