A non-monotone line search multidimensional filter-SQP method for general nonlinear programming

In this paper, we propose a non-monotone line search multidimensional filter-SQP method for general nonlinear programming based on the Wächter–Biegler methods for nonlinear equality constrained programming. Under mild conditions, the global convergence of the new method is proved. Furthermore, with...

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Bibliographic Details
Published in:Numerical algorithms Vol. 56; no. 4; pp. 537 - 559
Main Authors: Gu, Chao, Zhu, Detong
Format: Journal Article
Language:English
Published: Boston Springer US 01.04.2011
Springer Nature B.V
Subjects:
Algebra
Algorithms
Computer Science
Constraints
Convergence
Mathematical models
Nonlinear programming
Nonlinearity
Numeric Computing
Numerical Analysis
Original Paper
Programming
Searching
Theory of Computation
Line search
General nonlinear programming
65K05
90C30
90C55
Multidimensional filter
Maratos effect
49M37
Non-monotone
Convergence
ISSN:1017-1398, 1572-9265
Online Access:Get full text
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Summary:In this paper, we propose a non-monotone line search multidimensional filter-SQP method for general nonlinear programming based on the Wächter–Biegler methods for nonlinear equality constrained programming. Under mild conditions, the global convergence of the new method is proved. Furthermore, with the non-monotone technique and second order correction step, 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. Numerical results show that the new approach is efficient.
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ISSN:1017-1398
1572-9265
DOI:10.1007/s11075-010-9403-z