Article ID: | iaor20051142 |
Country: | Germany |
Volume: | 58 |
Issue: | 2 |
Start Page Number: | 271 |
End Page Number: | 282 |
Publication Date: | Jan 2003 |
Journal: | Mathematical Methods of Operations Research (Heidelberg) |
Authors: | Zhang K., Zhu Z., Jian J. |
In this paper, the feasible type SQP method is improved. A new algorithm is proposed to solve nonlinear inequality constrained problem, in which a new modified method is presented to decrease the computational complexity. It is required to solve only one QP subproblem with only a subset of the constraints estimated as active per single iteration. Moreover, a direction is generated to avoid the Maratos effect by solving a system of linear equations. The theoretical analysis shows that the algorithm has global and superlinear convergence under some suitable conditions. In this end, numerical experiments are given to show that the method in this paper is effective.