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Zbl 1049.90088
Fletcher, Roger; Leyffer, Sven
Nonlinear programming without a penalty function. (English)
[J] Math. Program. 91, No. 2 (A), 239-269 (2002). ISSN 0025-5610; ISSN 1436-4646/e

Summary: In this paper the solution of nonlinear programming problems by a Sequential Quadratic Programming (SQP) trust-region algorithm is considered. The aim of the present work is to promote global convergence without the need to use a penalty function. Instead, a new concept of a "filter" is introduced which allows a step to be accepted if it reduces either the objective function or the constraint violation function. Numerical tests on a wide range of test problems are very encouraging and the new algorithm compares favourably with LANCELOT and an implementation of S$\l_1$QP.

MSC 2000:: *90C30 Nonlinear programming
90C55 Methods of successive quadratic programming type
49M30 Methods of successive approximation, not based on necessary cond.

Keywords: Sequential Quadratic Programming trust-region algorithm

Cited in: Zbl 1244.65091 Zbl 1207.49039 Zbl 1172.49019 Zbl 1183.90399 Zbl 1170.90493 Zbl 1168.90018 Zbl 1114.65065 Zbl 1122.90074 Zbl 1115.90056 Zbl 1114.90128 Zbl 1038.90076

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