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Nonlinear programming without a penalty function

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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.

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Authors and Affiliations

  1. University of Dundee, Department of Mathematics, Dundee, DD1 4HN, Scotland, U.K., e-mail: fletcher@maths.dundee.ac.uk, sleyffer@maths.dundee.ac.uk, , , , , , GB

    Roger Fletcher & Sven Leyffer

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  1. Roger Fletcher
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  2. Sven Leyffer
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Received: October 17, 1997 / Accepted: August 17, 2000¶Published online September 3, 2001

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Fletcher, R., Leyffer, S. Nonlinear programming without a penalty function. Math. Program. 91, 239–269 (2002). https://doi.org/10.1007/s101070100244

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  • DOI: https://doi.org/10.1007/s101070100244

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