求解非线性规划的可行SQP滤子算法

A feasible SQP filter algorithm for nonlinear programming

在求解非线性规划问题的方法中,SQP方法是最有效的求解方法之一,而滤子方法也由于有着良好的数值结果,近年来已经广泛应用于非线性规划问题的求解中。文章提出了一类将滤子技巧与可行SQP方法结合起来求解优化问题的方法,该方法保证了每个试探点都不会远离可行域。在适当的条件下证明了算法的收敛性,数值结果证明算法是有效的。

SQP type method is one of the most effective methods for solving nonlinear programming . Recently, filter method, for its good numerical result, are extensively studied to hand nonlinear programming. In this paper, a new approach combined the filter technique and feasible SQP method is proposed to solve the original problem, which ensures that every trial point will not be far away from the feasible region. Under reasonable conditions, we give the globally convergence properties. Numerical tests are presented that confirm the efficiency of the approach.