Global convergence of a tri-dimensional filter SQP algorithm based on the line search method

In this paper, we propose a new filter line search 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 filt...

Full description

Saved in:
Bibliographic Details
Published inApplied numerical mathematics Vol. 59; no. 2; pp. 235 - 250
Main Authors Shen, Chungen, Xue, Wenjuan, Pu, Dingguo
Format Journal Article
LanguageEnglish
Published Kidlington Elsevier B.V 01.02.2009
Elsevier
Subjects
Backtracking
Constrained optimization problem
Exact sciences and technology
Filter
Line search method
Mathematics
Numerical analysis
Numerical analysis. Scientific computation
Sciences and techniques of general use
SQP
Backtracking
Line search method
65K05
90C30
SQP
Constrained optimization problem
Filter
Algorithm
Convergence
Numerical analysis
Applied mathematics
Inequality constraint
Equality constraint
Online AccessGet full text

Cover

More Information
Summary:In this paper, we propose a new filter line search 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 Chin and Fletcher's approach, 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.
ISSN:0168-9274
1873-5460
DOI:10.1016/j.apnum.2008.01.005