A modified QP-free feasible method

作者：Wang Hua^*; Pu Dingguo

来源：Applied Mathematical Modelling, 2011, 35(4): 1696-1708.

DOI：10.1016/j.apm.2010.10.002

• Constrained optimization
• QP-free algorithm
• NCP function
• Filter
• Global convergence
• Superlinear convergence

In this paper, we presented a modified QP-free filter method based on a new piecewise linear NCP functions. In contrast with the existing QP-free methods, each iteration in this algorithm only needs to solve systems of linear equations which are derived from the equality part in the KKT first order optimality conditions. Its global convergence and local superlinear convergence are obtained under mild conditions.

• 出版日期2011-4
• 单位上海立信会计金融学院; 同济大学