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作者机构:LSEC ICMSEC Academy of Mathematics and System Sciences Chinese Academy of Sciences Beijing 100080 China Graduate School of Chinese Academy of Sciences Beijing 100080 China)
出 版 物:《Journal of Computational Mathematics》 (计算数学(英文))
年 卷 期:2006年第24卷第5期
页 面:609-634页
核心收录:
学科分类:12[管理学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 07[理学] 070105[理学-运筹学与控制论] 0701[理学-数学]
基 金:Partly supported by Chinese
主 题:Nonlinear programming Sequential quadratic programming Filter Restoration phase Maratos affects Global convergence Multi-objective optimization Quadratic programming subproblem.
摘 要:In [4], Fletcher and Leyffer present a new method that solves nonlinear programming problems without a penalty function by SQP-Filter algorithm. It has attracted much attention due to its good numerical results. In this paper we propose a new SQP-Filter method which can overcome Maratos effect more effectively. We give stricter acceptant criteria when the iterative points are far from the optimal points and looser ones vice-versa. About this new method, the proof of global convergence is also presented under standard assumptions. Numerical results show that our method is efficient.