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Zbl 1115.90056
Wächter, Andreas; Biegler, Lorenz T.
Line search filter methods for nonlinear programming: local convergence. (English)
[J] SIAM J. Optim. 16, No. 1, 32-48 (2005). ISSN 1052-6234; ISSN 1095-7189/e

Summary: A line search method is proposed for nonlinear programming using Fletcher and Leyffer's filter method [{\it R. Flechter} and {\it S. Leyffer}, Math. Program. 91, No. 2 (A), 239--269 (2002; Zbl 1049.90088)], which replaces the traditional merit function. A simple modification of the method proposed in a companion paper [SIAM J. Optim. 16, No. 1, 1--31 (2005; Zbl 1114.90128)] introducing second order correction steps is presented. 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.

MSC 2000:: *90C30 Nonlinear programming
49M37 Methods of nonlinear programming type
65K05 Mathematical programming (numerical methods)
90C55 Methods of successive quadratic programming type

Keywords: nonlinear programming; nonconvex constrained optimization; filter method; line search; local convergence; Maratos effect; second order correction

Citations: Zbl 1049.90088; Zbl 1114.90128

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