等式约束优化一个无罚函数无滤子的QP-free算法

A QP-free Algorithm without a Penalty Function or a Filter for Nonlinear Equality Constrained Optimization

提出了求解等式约束优化问题的一个不使用罚函数和滤子QP-free算法.算法每次迭代只需解一个线性方程组产生搜索方向;非单调线搜索保证目标函数或约束违反度函数的充分下降.算法不需要传统的滤子法所必须的可行性恢复阶段.在适当的假设条件下算法具有全局收敛性.最后对算法进行了初步的数值验证.

In this paper,we present a QP-free algorithm without a penalty function or a filter for nonlinear equality constrained optimization.At each iteration,one system of linear equations is solved to yield search direction;the non-monotone line search ensures that the objective function or constraint violation function is sufficiently reduced.There is no feasibility restoration phase in our algorithm,which is necessary for filter methods.The proposed algorithm possesses global convergence under some mild conditions.Finally,some preliminary numerical results are reported.