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A non-monotone line search multidimensional filter-SQP method for general nonlinear programming

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Abstract

In this paper, we propose a non-monotone line search multidimensional filter-SQP method for general nonlinear programming based on the Wächter–Biegler methods for nonlinear equality constrained programming. Under mild conditions, the global convergence of the new method is proved. Furthermore, with the non-monotone technique and second order correction step, it is shown that the proposed method does not suffer from the Maratos effect, so that fast local convergence to second order sufficient local solutions is achieved. Numerical results show that the new approach is efficient.

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Authors and Affiliations

  1. School of Math. and Info., Shanghai LiXin University of Commerce, Shanghai, 201620, People’s Republic of China

    Chao Gu

  2. Business College, Shanghai Normal University, Shanghai, 200234, People’s Republic of China

    Detong Zhu

Authors
  1. Chao Gu
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  2. Detong Zhu
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Correspondence to Chao Gu.

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Gu, C., Zhu, D. A non-monotone line search multidimensional filter-SQP method for general nonlinear programming. Numer Algor 56, 537–559 (2011). https://doi.org/10.1007/s11075-010-9403-z

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  • DOI: https://doi.org/10.1007/s11075-010-9403-z

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