A stabilized filter SQP algorithm for nonlinear programming

doi:10.1007/s10898-015-0400-6

CORC > 上海财经大学 > 上海财经大学

	A stabilized filter SQP algorithm for nonlinear programming
	Shen, Chungen 1; Zhang, Lei-Hong 2,3; Liu, Wei 3,4
刊名	JOURNAL OF GLOBAL OPTIMIZATION
	2016-08
卷号	65 期号:4 页码:677-708
关键词	Stabilized SQP Filter Cone-continuity property Global convergence Local convergence
ISSN号	0925-5001
DOI	10.1007/s10898-015-0400-6
英文摘要	This paper presents a stabilized filter sequential quadratic programming (SQP) method for the general nonlinear optimization problems. The technique of stabilizing the inner quadratic programmings is an efficient strategy for the degenerate problem and brings the local superlinear convergence, while the integrated filter technique works effectively and guarantees the global convergence. The new algorithm works on both the primal and dual variables and solves the problem within the computational complexity comparable to the classical SQP algorithm. For the convergence, we show that (1) it converges either to a Karush-Kuhn-Tucker point at which the cone-continuity property holds, or to a stationary point in the sense of minimizing the constraint violation, and (2) under some second-order sufficient conditions, it converges locally superlinearly without any constraint qualifications. Our preliminary numerical results on a set of CUTEr test problems as well as on degenerate problems demonstrate the efficiency of the new algorithm.
WOS研究方向	Operations Research & Management Science ; Mathematics
语种	英语
出版者	SPRINGER
WOS记录号	WOS:000379862500003
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1244]
专题	上海财经大学
通讯作者	Shen, Chungen
作者单位	1.Univ Shanghai Sci & Technol, Coll Sci, Shanghai 200093, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Math, Shanghai 200433, Peoples R China; 3.Shanghai Univ Finance & Econ, Shanghai Key Lab Financial Informat Technol, Shanghai 200433, Peoples R China; 4.Shanghai Finance Univ, Sch Math & Stat, Shanghai 201209, Peoples R China
推荐引用方式 GB/T 7714	Shen, Chungen,Zhang, Lei-Hong,Liu, Wei. A stabilized filter SQP algorithm for nonlinear programming[J]. JOURNAL OF GLOBAL OPTIMIZATION,2016,65(4):677-708.
APA	Shen, Chungen,Zhang, Lei-Hong,&Liu, Wei.(2016).A stabilized filter SQP algorithm for nonlinear programming.JOURNAL OF GLOBAL OPTIMIZATION,65(4),677-708.
MLA	Shen, Chungen,et al."A stabilized filter SQP algorithm for nonlinear programming".JOURNAL OF GLOBAL OPTIMIZATION 65.4(2016):677-708.