A modified nonmonotone filter QP-free method

Miskolc Mathematical Notes

article

Ke Su¹  Lele Ren¹ 

[1] College of Mathematics and Information Science, Hebei University, Key Laboratory of Machine Learning and Computational Intelligence

关键词: inequality constrained optimization;    QP-free method;    active set;    global convergence;    filter;   

DOI  :  10.18514/MMN.2023.2910

学科分类：数学（综合）

来源: Miskolci Egyetem

【 摘 要 】

In this paper, an infeasible QP-free method without penalty function is proposed for inequality constrained optimization. We first compute a fundamental direction and then bend the search direction based on the constraint function and the Lagrange multiplier. Based on the modified nonmonotone filter technique, the acceptable criterion of trial points is relaxed and Maratos effects are avoided to a certain degree. At each iteration, only two or three systems of linear equations with the same coefficient are needed to solve to obtain the search direction. Under suitable conditions, the global convergence of the algorithm is proved without the strict complementarity conditions. In the end, some numerical results are reported.

【 授权许可】

CC BY