A mechanism for proving global convergence in filter-SQP （sequence of quadratic programming） method with the nonlinear complementarity problem （NCP） function is described for constrained nonlinear optimization pro...A mechanism for proving global convergence in filter-SQP （sequence of quadratic programming） method with the nonlinear complementarity problem （NCP） function is described for constrained nonlinear optimization problem.We introduce an NCP function into the filter and construct a new SQP-filter algorithm.Such methods are characterized by their use of the dominance concept of multi-objective optimization,instead of a penalty parameter whose adjustment can be problematic.We prove that the algorithm has global convergence and superlinear convergence rates under some mild conditions.展开更多
基金Project supported by the National Natural Science Foundation of China (Grant Nos.10571137,10771162)
文摘A mechanism for proving global convergence in filter-SQP （sequence of quadratic programming） method with the nonlinear complementarity problem （NCP） function is described for constrained nonlinear optimization problem.We introduce an NCP function into the filter and construct a new SQP-filter algorithm.Such methods are characterized by their use of the dominance concept of multi-objective optimization,instead of a penalty parameter whose adjustment can be problematic.We prove that the algorithm has global convergence and superlinear convergence rates under some mild conditions.
