Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9506700 | Applied Mathematics and Computation | 2005 | 21 Pages |
Abstract
In this paper, we propose a QP-free type algorithm which solves the problem of minimizing a smooth function subject to smooth inequality constraints. In contrast with the SQP methods, each iteration this algorithm only needs to solve systems of linear equations which are derived from the equality part in the KKT first order optimality conditions. It is observed that, if the quasi-Newton direction is zero, we can obtain a direction of descent by dropping a constraint from the active set at the current iterate. A high order modified direction is introduced in order to prevent Maratos effect. Global and superlinear convergence are proven under some suitable conditions.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Zhibin Zhu,