求解非线性规划问题的光滑牛顿法

Smoothing Newton Method for Nonlinear Programming Problem

提出了求解等式与不等式约束非线性规划问题的一种新的光滑牛顿法.该方法基于光滑化min函数,通过KKT条件,将原约束优化问题转化为等价的光滑方程组来求解,同时在较弱的条件下证明了该算法的全局收敛性.数值试验表明这一方法是有效的.

A new smoothing Newton method is proposed for solving equality and inequality constraints nonlinear programming problem. This method is based on smoothing minfunction , by KKT optimality conditions, original constraints optimazation problem is converted into the solution of equivalent smoothing equation set. Simultaneity, the proposed algorithm is proved to be well-defined and convergent globally under weaker conditions . Numerical experiments show the method is effective.