TY - JOUR
T1 - A nonmonotone filter method for nonlinear optimization
AU - Shen, Chungen
AU - Leyffer, Sven
AU - Fletcher, Roger
N1 - Copyright 2011 Elsevier B.V., All rights reserved.
PY - 2012/7
Y1 - 2012/7
N2 - We propose a new nonmonotone filter method to promote global and fast local convergence for sequential quadratic programming algorithms. Our method uses two filters: a standard, global g-filter for global convergence, and a local nonmonotone l-filter that allows us to establish fast local convergence. We show how to switch between the two filters efficiently, and we prove global and superlinear local convergence. A special feature of the proposed method is that it does not require second-order correction steps. We present preliminary numerical results comparing our implementation with a classical filter SQP method.
AB - We propose a new nonmonotone filter method to promote global and fast local convergence for sequential quadratic programming algorithms. Our method uses two filters: a standard, global g-filter for global convergence, and a local nonmonotone l-filter that allows us to establish fast local convergence. We show how to switch between the two filters efficiently, and we prove global and superlinear local convergence. A special feature of the proposed method is that it does not require second-order correction steps. We present preliminary numerical results comparing our implementation with a classical filter SQP method.
UR - http://www.scopus.com/inward/record.url?scp=80054891360&partnerID=8YFLogxK
U2 - 10.1007/s10589-011-9430-2
DO - 10.1007/s10589-011-9430-2
M3 - Article
VL - 52
SP - 583
EP - 607
JO - Computational Optimization and Applications
JF - Computational Optimization and Applications
SN - 0926-6003
IS - 3
ER -