Nonlinear programming without a penalty function

Roger Fletcher, Sven Leyffer

    Research output: Contribution to journalArticle

    561 Citations (Scopus)

    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.
    Original languageEnglish
    Pages (from-to)239-269
    Number of pages31
    JournalMathematical Programming
    Volume91
    Issue number2
    DOIs
    Publication statusPublished - 2002

    Keywords

    • Nonlinear programming
    • SQP
    • Filter
    • Penalty function

    Fingerprint Dive into the research topics of 'Nonlinear programming without a penalty function'. Together they form a unique fingerprint.

  • Cite this