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 journal › Article
}
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 -