Fletcher, Roger; Leyffer, Sven Nonlinear programming without a penalty function. (English) Zbl 1049.90088 Math. Program. 91, No. 2 (A), 239-269 (2002). 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. Cited in 11 ReviewsCited in 285 Documents MSC: 90C30 Nonlinear programming 90C55 Methods of successive quadratic programming type 49M30 Other numerical methods in calculus of variations (MSC2010) Keywords:Sequential Quadratic Programming trust-region algorithm Software:LANCELOT PDFBibTeX XMLCite \textit{R. Fletcher} and \textit{S. Leyffer}, Math. Program. 91, No. 2 (A), 239--269 (2002; Zbl 1049.90088) Full Text: DOI