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Mathematical Programming

, Volume 91, Issue 2, pp 239–269 | Cite as

Nonlinear programming without a penalty function

  • Roger Fletcher
  • Sven Leyffer

Abstract.

In this paper the solution of nonlinear programming problems by a Sequential Quadratic Programming (SQP) trust-region algorithm is considered. The aim of the present work is to promote global convergence without the need to use a penalty function. Instead, a new concept of a “filter” is introduced which allows a step to be accepted if it reduces either the objective function or the constraint violation function. Numerical tests on a wide range of test problems are very encouraging and the new algorithm compares favourably with LANCELOT and an implementation of Sl1QP.

Key words: nonlinear programming – SQP – filter – penalty function 
Mathematics Subject Classification (2000): 90C30, 90C55, 49M30 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • Roger Fletcher
    • 1
  • Sven Leyffer
    • 1
  1. 1.University of Dundee, Department of Mathematics, Dundee, DD1 4HN, Scotland, U.K., e-mail: fletcher@maths.dundee.ac.uk, sleyffer@maths.dundee.ac.ukGB

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