A SEQUENTIAL LINEAR CONSTRAINT PROGRAMMING ALGORITHM FOR NLP

被引：7

作者：

Fletcher, Roger ^{[1
]}

机构：

[1] Univ Dundee, Div Math, Dundee DD1 4HN, Scotland

来源：

SIAM JOURNAL ON OPTIMIZATION | 2012年 / 22卷 / 03期

关键词：

nonlinear programming; linear constraint programming; Robinson's method; spectral gradient method; filter; GLOBAL CONVERGENCE; OPTIMIZATION;

D O I：

10.1137/110844362

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

A new method for nonlinear programming (NLP) using sequential linear constraint programming (SLCP) is described. Linear constraint programming (LCP) subproblems are solved by a new code using a recently developed spectral gradient method for minimization. The method requires only first derivatives and avoids having to store and update approximate Hessian or reduced Hessian matrices. Globalization is provided by a trust region filter scheme. Open source production quality software is available. Results on a large selection of CUTEr test problems are presented and discussed and show that the method is reliable and reasonably efficient.

引用

页码：772 / 794

页数：23

共 12 条

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