| 摘要 |
<P>PROBLEM TO BE SOLVED: To provide a numerical solution calculation device stably finding a numerical solution of an equation satisfying the Karush-Kuhn-Tucker (KKT) conditions to be satisfied by a solution of a nonlinear optimization problem. <P>SOLUTION: With respect to a matrix of a linear equation finding a correction quantity to a general variable x and a correction quantity to a Lagrange multiplier λ<SB>h</SB>corresponding to equality constraint, a diagonal matrix D<SB>2</SB>wherein all diagonal term elements are prescribed minute positive values is subtracted from a part (a square matrix wherein all elements are zero) showing sensitivity of the Lagrange multiplier λ<SB>h</SB>corresponding to the equality constraint to the equality constraint at step S2. Another diagonal matrix D<SB>1</SB>wherein all diagonal term elements are prescribed minute positive values is added to a part (H) showing sensitivity of the general variable to a gradient of a Lagrange function to correct the linear equation and to make the matrix of the linear equation a positive definite matrix. Thereby, the linear equation can be stably solved to stably find the numerical solution of the equation satisfying the KKT conditions. <P>COPYRIGHT: (C)2004,JPO |
