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Nonlinear programming without a penalty function

Nonlinear programming without a penalty function

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Authors

  • Roger Fletcher
  • Sven Leyffer

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Info

Original languageEnglish
Pages239-269
Number of pages31
JournalMathematical Programming
Journal publication date2002
Volume91
Issue2
DOIs
StatePublished

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.

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