A filter-line-search method for unconstrained optimization

被引：4

作者：

Wang Z. ^{[1
]}

Zhu D. ^{[1
]}

机构：

[1] College of Business, Shanghai Normal University

来源：

Journal of Applied Mathematics and Computing | 2010年 / 34卷 / 1-2期

基金：

美国国家科学基金会;

关键词：

Convergence; Filter method; Line search method; Unconstrained optimization;

D O I：

10.1007/s12190-009-0324-8

中图分类号：

学科分类号：

摘要：

A new filter-line-search algorithm for unconstrained nonlinear optimization problems is proposed. Based on the filter technique introduced by Fletcher and Leyffer (Math. Program. 91:239-269, 2002) it extends an existing technique of Wächter and Biegler (SIAM J. Comput. 16:1-31, 2005) for nonlinear equality constrained problem to the fully general unconstrained optimization problem. The proposed method, which differs from their approach, does not depend on any external restoration procedure. Global and local quadratic convergence is established under some reasonable conditions. The results of numerical experiments indicate that it is very competitive with the classical line search algorithm. © 2009 Korean Society for Computational and Applied Mathematics.

引用

页码：329 / 342

页数：13

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