New sequential quadratic programming algorithm with consistent subproblems

被引:0
作者
贺国平
高自友
赖炎连
机构
[1] Shandong Institute of Mining and Technique
[2] Northern Jiaotong University
[3] Chinese Academy of Sciences
[4] Institute of Applied Mathematics
[5] China
[6] Beijing 100044
[7] Beijing 100080
[8] Tai’an 271019
基金
中国国家自然科学基金;
关键词
SQP algorithm; consistence of quadratic programming subproblem; global convergence; local su-perlinear convergence;
D O I
暂无
中图分类号
O221 [规划论(数学规划)];
学科分类号
070105 ; 1201 ;
摘要
One of the most interesting topics related to sequential quadratic programming algorithms is how to guarantee the consistence of all quadratic programming subproblems. In this decade, much work trying to change the form of constraints to obtain the consistence of the subproblems has been done The method proposed by De O. Panto-ja J F A and coworkers solves the consistent problem of SQP method, and is the best to the authors’ knowledge. However, the scale and complexity of the subproblems in De O. Pantoja’s work will be increased greatly since all equality constraints have to be changed into absolute form A new sequential quadratic programming type algorithm is presented by means of a special ε-active set scheme and a special penalty function. Subproblems of the new algorithm are all consistent, and the form of constraints of the subproblems is as simple as one of the general SQP type algorithms. It can be proved that the new method keeps global convergence and local superhnear convergence.
引用
收藏
页码:137 / 150
页数:14
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