Article ID: | iaor20115062 |
Volume: | 217 |
Issue: | 19 |
Start Page Number: | 7679 |
End Page Number: | 7691 |
Publication Date: | Jun 2011 |
Journal: | Applied Mathematics and Computation |
Authors: | Zhu Detong, Wang Zhujun |
Keywords: | line search |
This paper proposes a line search filter reduced Hessian method for nonlinear equality constrained optimization. The feature of the presented algorithm is that the reduced Hessian method is used to produce a search direction, a backtracking line search procedure to generate step size, some filtered rules to determine step acceptance, second order correction technique to reduce infeasibility and overcome the Maratos effects. It is shown that this algorithm does not suffer from the Maratos effects by using second order correction step, and under mild assumptions fast convergence to second order sufficient local solutions is achieved. The numerical experiment is reported to show the effectiveness of the proposed algorithm.