带理性运动极限的序列二次规划算法

Sequential Quadratic Programming With Rational Move Limits

序列二次规划(SQP)算法的基本思想是通过一系列的二次规划(QP)子问题来逐次逼近原问题.为了给定QP子问题一个更加合适的求解空间(超多面体),将理性运动极限应用于SQP算法,提出了一种带理性运动极限的序列二次规划算法,从而以较为理性的方式求解搜索方向,而且也有利于确定搜索步长,数值算例表明这一方法是可行且有效的。

The basic idea of the sequential quadratic programming （SQP） algorithm is to approximate and initial model with a sequence of quadratic programming （QP） sub-problems. To choose rational move limits box （super-polyhedron） for QP sub-problems, a new SQP algorithm, SQPRML is presented. Hence, the problem of search direction is solved in a more rational method, and it facilitates to obtain search step size. Numerical examples are presented which show that the algorithm is feasible and efficient.