Technical Report ERGO 13-005

On the evaluation complexity of constrained nonlinear least-squares and general constrained nonlinear optimization using second-order methods
Coralia Cartis, Nicholas I. M. Gould and Philippe L. Toint


When solving the general smooth nonlinear optimization problem involving equality and/or inequality constraints, an approximate first-order critical point of accuracy ε can be obtained by a second-order method using cubic regularization in at most O(ε-3/2) problem-functions evaluations, the same order bound as in the unconstrained case. This result is obtained by first showing that the same result holds for inequality constrained nonlinear least-squares. As a consequence, the presence of (possibly nonlinear) equality/inequality constraints does not affect the complexity of finding approximate first-order critical points in nonconvex optimization. This result improves on the best known (O(ε-2)) evaluation-complexity bound for solving general nonconvexly constrained optimization problems.




Written: 3 April 2013


Submitted for publication