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http://dx.doi.org/10.7858/eamj.2012.28.3.293

AN ACTIVE SET SQP-FILTER METHOD FOR SOLVING NONLINEAR PROGRAMMING  

Su, Ke (College of Mathematics and Computer Sciencs, Hebei University)
Yuan, Yingna (College of Mathematics and Computer Sciencs, Hebei University)
An, Hui (College of Mathematics and Computer Sciencs, Hebei University)
Publication Information
East Asian mathematical journal / v.28, no.3, 2012 , pp. 293-303 More about this Journal
Abstract
Sequential quadratic programming (SQP) has been one of the most important methods for solving nonlinear constrained optimization problems. Recently, filter method, proposed by Fletcher and Leyffer, has been extensively applied for its promising numerical results. In this paper, we present and study an active set SQP-filter algorithm for inequality constrained optimization. The active set technique reduces the size of quadratic programming (QP) subproblem. While by the filter method, there is no penalty parameter estimate. Moreover, Maratos effect can be overcome by filter technique. Global convergence property of the proposed algorithm are established under suitable conditions. Some numerical results are reported in this paper.
Keywords
Nonlinear programming; active set; filter method; sequential quadratic programming;
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