Abstract

We consider the constrained optimization problem  defined by:

$$f(x^*) = \min_{x \in  X} f(x) \eqno (1)$$

where the function  $f$ : $ \pmb{\mathbb{R}}^{n} \longrightarrow \pmb{\mathbb{R}}$ is convex  on a closed convex set X.
In this work, we will give a new method to solve problem (1) without bringing it back to an unconstrained problem. We study the convergence of this new method and give numerical examples.

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