Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9509345 | Journal of Computational and Applied Mathematics | 2005 | 22 Pages |
Abstract
In this paper, a class of optimization problems with equality and inequality constraints is discussed. Firstly, the original problem is transformed to an associated simpler problem with only inequality constraints and a parameter. The later problem is shown to be equivalent to the original problem if the parameter is large enough (but finite), then a feasible descent SQP algorithm for the simplified problem is presented. At each iteration of the proposed algorithm, a master direction is obtained by solving a quadratic program (which always has a feasible solution). With two corrections on the master direction by two simple explicit formulas, the algorithm generates a feasible descent direction for the simplified problem and a height-order correction direction which can avoid the Maratos effect without the strict complementarity, then performs a curve search to obtain the next iteration point. Thanks to the new height-order correction technique, under mild conditions without the strict complementarity, the globally and superlinearly convergent properties are obtained. Finally, an efficient implementation of the numerical experiments is reported.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Jin-Bao Jian, Chun-Ming Tang, Qing-Jie Hu, Hai-Yan Zheng,