A filter interior-point algorithm with projected Hessian updating for nonlinear optimization

被引：6

作者：

Gu C. ^{[1
,2
]}

Zhu D. ^{[3
]}

机构：

[1] Department of Mathematics, Shanghai Normal University

[2] Depart. of Math. and Statist., Shanghai LiXin University of Commerce

[3] Business College, Shanghai Normal University

来源：

Journal of Applied Mathematics and Computing | 2009年 / 29卷 / 1-2期

基金：

美国国家科学基金会;

关键词：

Barrier method; Filter method; Interior point; Line search; Nonlinear programming; Projected Hessian;

D O I：

10.1007/s12190-008-0089-5

中图分类号：

学科分类号：

摘要：

Filter approaches, initially presented by Fletcher and Leyffer in 2002, are attractive methods for nonlinear programming. In this paper, we propose an interior-point barrier projected Hessian updating algorithm with line search filter method for nonlinear optimization. The Lagrangian function value instead of the objective function value is used in the filter. The damped BFGS updating is employed to maintain the positive definiteness of the matrices in projected Hessian updating algorithm. The numerical experiments are reported to show the effectiveness of the proposed algorithm.

引用

页码：67 / 80

页数：13

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