Abstract

A mechanism for proving global convergence in SQP-filter methods for nonlinear programming (NLP) is described. Such methods are characterized by their use of the dominance concept of multiobjective optimization, instead of a penalty parameter whose adjustment can be problematic. The main point of interest is to demonstrate how convergence for NLP can be induced without forcing sufficient descent in a penalty-type merit function.\nThe proof relates to a prototypical algorithm, within which is allowed a range of specific algorithm choices associated with the Hessian matrix representation, updating the trust region radius, and feasibility restoration.

Keywords

Hessian matrixTrust regionSequential quadratic programmingMathematicsConvergence (economics)Mathematical optimizationNonlinear programmingPenalty methodAlgorithmFilter (signal processing)Representation (politics)Forcing (mathematics)Range (aeronautics)Function (biology)Nonlinear systemComputer scienceRADIUSQuadratic programmingApplied mathematicsLaw

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Year
2002
Type
article
Volume
13
Issue
1
Pages
44-59
Citations
319
Access
Closed

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R. Fletcher, Sven Leyffer, Philippe L. Toint (2002). On the Global Convergence of a Filter--SQP Algorithm. SIAM Journal on Optimization , 13 (1) , 44-59. https://doi.org/10.1137/s105262340038081x

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DOI
10.1137/s105262340038081x