Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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A MODIFIED NONMONOTONE FILTER TRUST REGION METHOD FOR SOLVING INEQUALITY CONSTRAINED PROGRAMMING

  • Wang, Hua (School of Mathematics and Information, Shanghai Lixin University of Commerce) ;
  • Pu, Dingguo (Department of Mathematics, Tongji University)
  • Received : 2010.06.20
  • Accepted : 2010.09.03
  • Published : 2011.05.30
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Abstract

SQP method is one of the most important methods for solving nonlinear programming. But it may fail if the quadratic subproblem is inconsistent. In this paper, we propose a modified nonmonotone filter trust region method in which the QP subproblem is consistent. By means of nonmonotone filter, this method has no demand on the penalty parameter which is difficult to obtain. Moreover, the restoration phase is not needed any more. Under reasonable conditions, we obtain the global convergence of the algorithm. Some numerical results are presented.

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References

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