A line search filter algorithm with inexact step computations for equality constrained optimization

作者：Zhu Xiaojing^*; Pu Dingguo

来源：Applied Numerical Mathematics, 2012, 62(3): 212-223.

DOI：10.1016/j.apnum.2011.12.006

• Constrained optimization
• Inexact method
• Line search
• Filter

In this paper, a new line search filter algorithm for equality constrained optimization is presented. The approach belongs to the class of inexact Newton-like methods. It can also be regarded as an inexact version of generic sequential quadratic programming (SQP) methods. The trial step is obtained by truncatedly solving the primal-dual system based on any robust and efficient linear system solver. Practical termination tests for the linear system solver are established to ensure global convergence. Preliminary numerical results demonstrate the approach is potentially useful.

• 出版日期2012-3
• 单位同济大学