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Zbl 1155.90023
Shen, Chungen; Xue, Wenjuan; Pu, Dingguo
Global convergence of a tri-dimensional filter SQP algorithm based on the line search method.
(English)
[J] Appl. Numer. Math. 59, No. 2, 235-250 (2009). ISSN 0168-9274

Authors' abstract: We propose a new filter line search successive quadratic programming (SQP) method in which the violations of equality and inequality constraints are considered separately. Thus the filter in our algorithm is composed by three components: objective function value, equality and inequality constraints violations. The filter with three components accepts reasonable steps flexibly, comparing that with two components. The new filter shares some features with the {\it Ch.-M. Chin} and {\it R. Fletcher}'s approach [Math. Program. 96, No.1 (A), 161--177 (2003; Zbl 1023.90060)], namely the slanting envelope'' and the inclusion property''. Under mild conditions, the filter line search SQP method is proven to be globally convergent. Numerical experiments also show the efficiency of our method.
[Klaus Schittkowski (Bayreuth)]
MSC 2000:
*90C55 Methods of successive quadratic programming type
90C30 Nonlinear programming

Keywords: line search method; backtracking; constrained optimization problem; SQP; filter

Citations: Zbl 1023.90060

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