Numerical Optimization

Numerical Optimization presents a comprehensive and up-to-date description of the most effective methods in continuous optimization. It responds to the growing interest in optimization in engineering, science, and business by focusing on the methods that

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Springer Series in Operations Research and Financial Engineering Editors: Thomas V. Mikosch Sidney I. Resnick

Stephen M. Robinson

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Springer Series in Operation Research and Financial Engineering Altiok: Performance Analysis of Manufacturing Systems Birge and Louveaux: Introduction to Stochastic Programming Bonnans and Shapiro: Perturbation Analysis of Optimization Problems Bramel, Chen, and Simchi-Levi: The Logic of Logistics: Theory, Algorithms,

and Applications for Logistics and Supply Chain Management (second edition) Dantzig and Thapa: Linear Programming 1: Introduction Dantzig and Thapa: Linear Programming 2: Theory and Extensions Drezner (Editor): Facility Location: A Survey of Applications and Methods Facchinei and Pang: Finite-Dimensional Variational Inequalities and Complementarity Problems, Volume I Facchinei and Pang: Finite-Dimensional Variational Inequalities and Complementarity Problems, Volume II Fishman: Discrete-Event Simulation: Modeling, Programming, and Analysis Fishman: Monte Carlo: Concepts, Algorithms, and Applications Haas: Stochastic Petri Nets: Modeling, Stability, Simulation Klamroth: Single-Facility Location Problems with Barriers Muckstadt: Analysis and Algorithms for Service Parts Supply Chains Nocedal and Wright: Numerical Optimization Olson: Decision Aids for Selection Problems Pinedo: Planning and Scheduling in Manufacturing and Services Pochet and Wolsey: Production Planning by Mixed Integer Programming Whitt: Stochastic-Process Limits: An Introduction to Stochastic-Process Limits and Their Application to Queues Yao (Editor): Stochastic Modeling and Analysis of Manufacturing Systems Yao and Zheng: Dynamic Control of Quality in Production-Inventory Systems: Coordination and Optimization Yeung and Petrosyan: Cooperative Stochastic Differential Games

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Jorge Nocedal

Stephen J. Wright

Numerical Optimization

Second Edition

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Jorge Nocedal EECS Department Northwestern University Evanston, IL 60208-3118 USA [email protected]

Stephen J. Wright Computer Sciences Department University of Wisconsin 1210 West Dayton Street Madison, WI 53706–1613 USA [email protected]

Series Editors: Thomas V. Mikosch University of Copenhagen Laboratory of Actuarial Mathematics DK-1017 Copenhagen Denmark [email protected]

Stephen M. Robinson Department of Industrial and Systems Engineering University of Wisconsin 1513 University Avenue Madison, WI 53706–1539 USA [email protected]

Sidney I. Resnick Cornell University School of Operations Research and Industrial Engineering Ithaca, NY 14853 USA [email protected]

Mathematics Subject Classification (2000): 90B30, 90C11, 90-01, 90-02 Library of Congress Control Number: 2006923897 ISBN-10: 0-387-30303-0

ISBN-13: 978-0387-30303-1

Printed on acid-free paper.  C 2006 Springer Science+Business Media, LLC.

All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Scienc