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A new technique for avoiding the Maratos effect
Authors:A F Izmailov
Institution:(1) Faculty of Computational Mathematics and Cybernetics, Moscow State University, Moscow, 119992, Russia
Abstract:A well-known difficulty arising in the convergence globalization of Newton-type constrained optimization methods is the Maratos effect, which prevents these methods from achieving a superlinear convergence rate and, in many cases, reduces their general efficiency. For the sequential quadratic programming method with linesearch, a new simple and rather promising technique is proposed to avoid the Maratos effect.
Keywords:mathematical programming problem  sequential quadratic programming  linesearch  Maratos effect  superlinear convergence rate
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