Abstract

A trust-region SQP-filter algorithm of the type introduced by Fletcher and Leyffer [Math. Program., 91 (2002), pp. 239--269] that decomposes the step into its normal and tangential components allows for an approximate solution of the quadratic subproblem and incorporates the safeguarding tests described in Fletcher, Leyffer, and Toint [On the Global Convergence of an SLP-Filter Algorithm, Technical Report 98/13, Department of Mathematics, University of Namur, Namur, Belgium, 1998; On the Global Convergence of a Filter-SQP Algorithm, Technical Report 00/15, Department of Mathematics, University of Namur, Namur, Belgium, 2000] is considered. It is proved that, under reasonable conditions and for every possible choice of the starting point, the sequence of iterates has at least one first-order critical accumulation point.

Keywords

Sequential quadratic programmingMathematicsIterated functionTrust regionFilter (signal processing)Convergence (economics)Interior point methodAlgorithmNonlinear programmingMathematical optimizationQuadratic programmingNonlinear systemComputer scienceMathematical analysis

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Publication Info

Year
2002
Type
article
Volume
13
Issue
3
Pages
635-659
Citations
269
Access
Closed

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R. Fletcher, Nicholas I. M. Gould, Sven Leyffer et al. (2002). Global Convergence of a Trust-Region SQP-Filter Algorithm for General Nonlinear Programming. SIAM Journal on Optimization , 13 (3) , 635-659. https://doi.org/10.1137/s1052623499357258

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DOI
10.1137/s1052623499357258