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Nonlinear programming without a penalty function

Nonlinear programming without a penalty function

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  • Roger Fletcher
  • Sven Leyffer

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Original languageEnglish
Pages (from-to)239-269
Number of pages31
JournalMathematical Programming
Issue number2
StatePublished - 2002


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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