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http://dx.doi.org/10.14317/jami.2011.29.3_4.573

A MODIFIED NONMONOTONE FILTER TRUST REGION METHOD FOR SOLVING INEQUALITY CONSTRAINED PROGRAMMING  

Wang, Hua (School of Mathematics and Information, Shanghai Lixin University of Commerce)
Pu, Dingguo (Department of Mathematics, Tongji University)
Publication Information
Journal of applied mathematics & informatics / v.29, no.3_4, 2011 , pp. 573-585 More about this Journal
Abstract
SQP method is one of the most important methods for solving nonlinear programming. But it may fail if the quadratic subproblem is inconsistent. In this paper, we propose a modified nonmonotone filter trust region method in which the QP subproblem is consistent. By means of nonmonotone filter, this method has no demand on the penalty parameter which is difficult to obtain. Moreover, the restoration phase is not needed any more. Under reasonable conditions, we obtain the global convergence of the algorithm. Some numerical results are presented.
Keywords
Nonmonotone; Filter; Inequality constraints; Global convergence;
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