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

• Published in: Applied numerical mathematics Vol. 59; no. 2; pp. 235 - 250
• Main Authors: Shen, Chungen, Xue, Wenjuan, Pu, Dingguo
• Format: Journal Article
• Language: English
• 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

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...