A line search filter-SQP method for nonlinear inequality constrained optimization

YUAN Jing; ZHU Detong

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A line search filter-SQP method for nonlinear inequality constrained optimization

YUAN Jing 1,ZHU Detong 2 *

1.Department of Mathematics, Shanghai Normal University, ShangHai 200234

2.College of Business, Shanghai Normal University, ShangHai 200234

*Correspondence author

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Funding: National Science Foundation （No.10871130）, the Ph.D. Foundation （No.20093127110005）

Opened online:26 June 2012

Accepted by: none

Citation: YUAN Jing,ZHU Detong.A line search filter-SQP method for nonlinear inequality constrained optimization[OL]. [26 June 2012] http://en.paper.edu.cn/en_releasepaper/content/4482733

Filter methods are extensively studied for solving nonlinearprogramming problems (NLP). In this paper, the author propose the sequencequadratic programming method with a line search filter technique fornonlinear inequality constrained problems. The search direction ofthis algorithm is generated by first-order necessary conditions,while a backtracking line search procedure is used to generate stepsize. The second order correction is employed to overcome theMaratos effect. Local convergent rate and global convergence areestablished under some suitable conditions. Finally, the results ofnumerical experiments indicate that the proposed method is efficientfor the given test problems.

Keywords:Optimization theory andmethods; Nonlinear programming; Filter method; Linesearch technique; Convergence; Second order correction step

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