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Nonlinear programming without a penalty function or a filter
Authors:N I M Gould  Ph L Toint
Institution:(1) Oxford University Computing Laboratory, Wolfson Building, Parks Road, Oxford, OX1 3QD, UK;(2) Department of Mathematics, FUNDP-University of Namur, 61 ruede Bruxelles, 5000 Namur, Belgium
Abstract:A new method is introduced for solving equality constrained nonlinear optimization problems. This method does not use a penalty function, nor a filter, and yet can be proved to be globally convergent to first-order stationary points. It uses different trust-regions to cope with the nonlinearities of the objective function and the constraints, and allows inexact SQP steps that do not lie exactly in the nullspace of the local Jacobian. Preliminary numerical experiments on CUTEr problems indicate that the method performs well.
Keywords:Nonlinear optimization  Equality constraints  Numerical algorithms  Global convergence
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