| 等式约束优化一个新的SQP算法 |
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| 引用本文： | 赵富强,曾玲.等式约束优化一个新的SQP算法[J].纯粹数学与应用数学,2009,25(2):276-283. |
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| 作者姓名： | 赵富强 曾玲 |
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| 作者单位： | 桂林电子科技大学数学与计算科学学院,广西,桂林,541004 |
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| 基金项目： | 国家自然科学基金，广西自然科学基金 |
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| 摘 要： | 提出了一个处理等式约束优化问题新的SQP算法，该算法通过求解一个增广Lagrange函数的拟Newton方法推导出一个等式约束二次规划子问题，从而获得下降方向．罚因子具有自动调节性，并能避免趋于无穷．为克服Maratos效应采用增广Lagrange函数作为效益函数并结合二阶步校正方法．在适当的条件下，证明算法是全局收敛的，并且具有超线性收敛速度．
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| 关 键 词： | 等式约束优化 SQP算法 等式约束二次规划 全局收敛 超线性收敛 |
A new SQP algorithm for equality constrained optimization |
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| ZHAO Fu-qiang,ZENG Ling.A new SQP algorithm for equality constrained optimization[J].Pure and Applied Mathematics,2009,25(2):276-283. |
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| Authors: | ZHAO Fu-qiang ZENG Ling |
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| Institution: | ZHAO Fu-qiang,ZENG Ling (School of Mathematics , Computing Science,Guilin University of Electronic , Technology,Guilin 541004,China) |
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| Abstract: | In this paper, a new SQP method is presented to solve equality constrained optimization. It obtains descent direction by solving a equality constrained optimization subproblem which is deduced by solving the augmented Lagrangian in quasi-Newton method. The penalty parameter is adjusted automatically and avoided tending to infinity. In order to conquer Maratos effect, it takes augmented Lagrangian as a merit function and combines two-step revised method. Under some suitable assumptions, we prove that the alg... |
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| Keywords: | equality constrained optimization SQP algorithm equality constrained quadratic programming global convergence superlinear convergence |
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