Theory of functional connections applied to quadratic and nonlinear programming under equality constraints

Abstract

This paper introduces an efficient approach to solve quadratic and nonlinear programming problems subject to linear equality constraints via the theory of functional connections. This is done without using the traditional Lagrange multiplier technique. In particular, two distinct expressions (fully satisfying the equality constraints) are provided, to first solve the constrained quadratic programming problem as an unconstrained one for closed-form solution. Such expressions are derived by utilizing an optimization variable vector, which is called the free vector g by the theory of functional connections. In the spirit of this theory, for the equality constrained nonlinear programming problem, its solution is obtained by the Newton’s method combining with elimination scheme in optimization. Convergence analysis is supported by a numerical example for the proposed approach.