Critical points of the constrained optimization
Problem 2 are zeros of the
Fritz-John system defined by
where , , the are unconstrained, and
the last equation is one of several possible normalization conditions.
For details, see [6, §10.5,] or
[8, §5.2.5,].
An interval Newton method applied to the system (12) is used within GlobSol to narrow the size of the boxes considered within the overall algorithm. The bound constraints are included by applying the interval Newton method within a reduced space, that is, by treating boxes with active bound constraints separately, and fixing variables corresponding to active bound constraints. Similarly, inequality constraints that are certainly feasible (i.e. those for which the interval extension , and, hence, for which ) are removed from the Fritz-John system. The current interval bounds for U and V are associated with each box , and are inherited by sub-boxes if is subdivided.
The verification properties of the interval Newton method can, in theory, be used to verify existence of a feasible critical point. However, the overall branch and bound algorithm often only needs verification of a feasible point within a particular small box. Approximate feasible critical points are sometimes much harder to obtain than approximate feasible points. Similarly, an alternate verification procedure (see §8) is more robust than using the Fritz-John system to merely verify the existence of feasible points.