Nonlinear programming without a penalty function |
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Authors: | Roger Fletcher Sven Leyffer |
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Affiliation: | (1) University of Dundee, Department of Mathematics, Dundee, DD1 4HN, Scotland, U.K., e-mail: fletcher@maths.dundee.ac.uk, sleyffer@maths.dundee.ac.uk, GB |
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Abstract: | In this paper the solution of nonlinear programming problems by a Sequential Quadratic Programming (SQP) trust-region algorithm is considered. The aim of the present work is to promote global convergence without the need to use a penalty function. Instead, a new concept of a “filter” is introduced which allows a step to be accepted if it reduces either the objective function or the constraint violation function. Numerical tests on a wide range of test problems are very encouraging and the new algorithm compares favourably with LANCELOT and an implementation of Sl1QP. Received: October 17, 1997 / Accepted: August 17, 2000?Published online September 3, 2001 |
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Keywords: | : nonlinear programming – SQP – filter – penalty function |
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