The Lifted Newton Method and Its Application in Optimization

@article{Albersmeyer2010TheLN,
  title={The Lifted Newton Method and Its Application in Optimization},
  author={Jan Albersmeyer and Moritz Diehl},
  journal={SIAM Journal on Optimization},
  year={2010},
  volume={20},
  pages={1655-1684}
}
We present a new “lifting” approach for the solution of nonlinear optimization problems (NLPs) that have objective and constraint functions with intermediate variables. Introducing these as additional degrees of freedom into the original problem, combined with adding suitable new constraints to ensure equivalence of the problems, we propose to solve this augmented system instead of the original system by a Newton-type method. This often offers advantages in terms of convergence rates and region… CONTINUE READING
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