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A SEQUENTIAL QUADRATIC PROGRAMMING METHOD WITHOUT A PENALTY FUNCTION OR A FILTER FOR NONLINEAR EQUALITY CONSTRAINED OPTIMIZATION

文献类型：期刊论文

作者Liu, Xinwei1; Yuan, Yaxiang2
刊名SIAM JOURNAL ON OPTIMIZATION
出版日期2011
卷号21期号:2页码:545-571
关键词sequential quadratic programming penalty function filter regularity global and local convergence analysis
ISSN号1052-6234
DOI10.1137/080739884
英文摘要We present a sequential quadratic programming method without using a penalty function or a filter for solving nonlinear equality constrained optimization. In each iteration, the linearized constraints of the quadratic programming are relaxed to satisfy two mild conditions; the step-size is selected such that either the value of the objective function or the measure of the constraint violations is sufficiently reduced. As a result, our method has two nice properties. First, we do not need to assume the boundedness of the iterative sequence. Second, we do not need any restoration phase which is necessary for filter methods. We prove that the algorithm will terminate at either an approximate Karush-Kuhn-Tucker point, an approximate Fritz-John point, or an approximate infeasible stationary point which is an approximate stationary point for minimizing the l 2 norm of the constraint violations. By controlling the exactness of the linearized constraints and introducing a second-order correction technique, without requiring linear independence constraint qualification, the algorithm is shown to be locally superlinearly convergent. The preliminary numerical results show that the algorithm is robust and efficient when solving some small-and medium-sized problems from the CUTE collection.
资助项目National Natural Science Foundation of China[10971047] ; National Natural Science Foundation of China[10831006] ; Hebei Natural Science Foundation of China[A2010000011] ; CAS[kjcx-yw-s7]
WOS研究方向Mathematics
语种英语
WOS记录号WOS:000292247200006
出版者SIAM PUBLICATIONS
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/12327]  
专题计算数学与科学工程计算研究所
通讯作者Liu, Xinwei
作者单位1.Hebei Univ Technol, Dept Appl Math, Tianjin 300401, Peoples R China
2.Chinese Acad Sci, Acad Math & Syst Sci, State Key Lab Sci & Engn Comp LSEC, Inst Computat Math & Sci Engn Comp, Beijing 100190, Peoples R China
推荐引用方式
GB/T 7714		 Liu, Xinwei,Yuan, Yaxiang. A SEQUENTIAL QUADRATIC PROGRAMMING METHOD WITHOUT A PENALTY FUNCTION OR A FILTER FOR NONLINEAR EQUALITY CONSTRAINED OPTIMIZATION[J]. SIAM JOURNAL ON OPTIMIZATION,2011,21(2):545-571.
APA Liu, Xinwei,&Yuan, Yaxiang.(2011).A SEQUENTIAL QUADRATIC PROGRAMMING METHOD WITHOUT A PENALTY FUNCTION OR A FILTER FOR NONLINEAR EQUALITY CONSTRAINED OPTIMIZATION.SIAM JOURNAL ON OPTIMIZATION,21(2),545-571.
MLA Liu, Xinwei,et al."A SEQUENTIAL QUADRATIC PROGRAMMING METHOD WITHOUT A PENALTY FUNCTION OR A FILTER FOR NONLINEAR EQUALITY CONSTRAINED OPTIMIZATION".SIAM JOURNAL ON OPTIMIZATION 21.2(2011):545-571.

入库方式： OAI收割

来源：数学与系统科学研究院

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