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Nonlinear programming without a penalty function

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Nonlinear programming without a penalty function. / Fletcher, Roger; Leyffer, Sven.

In: Mathematical Programming, Vol. 91, No. 2, 2002, p. 239-269.

Research output: Contribution to journalArticle

Harvard

Fletcher, R & Leyffer, S 2002, 'Nonlinear programming without a penalty function' Mathematical Programming, vol 91, no. 2, pp. 239-269., 10.1007/s101070100244

APA

Fletcher, R., & Leyffer, S. (2002). Nonlinear programming without a penalty function. Mathematical Programming, 91(2), 239-269. 10.1007/s101070100244

Vancouver

Fletcher R, Leyffer S. Nonlinear programming without a penalty function. Mathematical Programming. 2002;91(2):239-269. Available from: 10.1007/s101070100244

Author

Fletcher, Roger; Leyffer, Sven / Nonlinear programming without a penalty function.

In: Mathematical Programming, Vol. 91, No. 2, 2002, p. 239-269.

Research output: Contribution to journalArticle

Bibtex - Download

@article{c470c10ec6eb45999bf2eb0161a90d36,
title = "Nonlinear programming without a penalty function",
keywords = "Nonlinear programming, SQP, Filter, Penalty function",
author = "Roger Fletcher and Sven Leyffer",
note = "dc.publisher: Springer",
year = "2002",
doi = "10.1007/s101070100244",
volume = "91",
number = "2",
pages = "239--269",
journal = "Mathematical Programming",

}

RIS (suitable for import to EndNote) - Download

TY - JOUR

T1 - Nonlinear programming without a penalty function

A1 - Fletcher,Roger

A1 - Leyffer,Sven

AU - Fletcher,Roger

AU - Leyffer,Sven

PY - 2002

Y1 - 2002

N2 - 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.

AB - 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.

KW - Nonlinear programming

KW - SQP

KW - Filter

KW - Penalty function

U2 - 10.1007/s101070100244

DO - 10.1007/s101070100244

M1 - Article

JO - Mathematical Programming

JF - Mathematical Programming

IS - 2

VL - 91

SP - 239

EP - 269

ER -

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