A non-monotone line search multidimensional filter-SQP method for general nonlinear programming

被引：16
|
作者：
Gu, Chao [1 ]
Zhu, Detong [2 ]
机构：
[1] Shanghai LiXin Univ Commerce, Sch Math & Info, Shanghai 201620, Peoples R China
[2] Shanghai Normal Univ, Coll Business, Shanghai 200234, Peoples R China
来源：
NUMERICAL ALGORITHMS | 2011年 / 56卷 / 04期
基金：
美国国家科学基金会;
关键词：
General nonlinear programming; Non-monotone; Line search; Multidimensional filter; Convergence; Maratos effect; CONSTRAINED OPTIMIZATION; GLOBAL CONVERGENCE; ALGORITHM;
D O I：
10.1007/s11075-010-9403-z
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, we propose a non-monotone line search multidimensional filter-SQP method for general nonlinear programming based on the Wachter-Biegler methods for nonlinear equality constrained programming. Under mild conditions, the global convergence of the new method is proved. Furthermore, with the non-monotone technique and second order correction step, it is shown that the proposed method does not suffer from the Maratos effect, so that fast local convergence to second order sufficient local solutions is achieved. Numerical results show that the new approach is efficient.
引用
收藏
页码：537 / 559
页数：23
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