Nonlinear programming without a penalty function

Nonlinear programming without a penalty function

0.00 Avg rating0 Votes
Article ID: iaor2003795
Country: Germany
Volume: 91
Issue: 2
Start Page Number: 239
End Page Number: 269
Publication Date: Jan 2002
Journal: Mathematical Programming
Authors: ,
Abstract:

In this paper the solution of nonlinear programming problems by a Sequential Quadratic Programming (SQP) trust-region algorithm is considered. The aim of the present work is to promote global convergence without the need to use a penalty function. Instead, a new concept of a filter is introduced which allows a step to be accepted if it reduces either the objective function or the constraint violation function. Numerical tests on a wide range of test problems are very encouraging and the new algorithm compares favourably with LANCELOT and an implementation of Sl1QP.

Reviews

Required fields are marked *. Your email address will not be published.