Nonlinear Programming without a penalty function (2000)
| Venue: | Mathematical Programming |
| Citations: | 120 - 25 self |
BibTeX
@ARTICLE{Fletcher00nonlinearprogramming,
author = {Roger Fletcher and Sven Leyffer},
title = {Nonlinear Programming without a penalty function},
journal = {Mathematical Programming},
year = {2000},
volume = {91},
pages = {239--269}
}
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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 Sl 1 QP.
