A trust region SQP-filter method for nonlinear second-order cone programming

作者：Zhang, Xiangsong^*; Liu, Zhenhua; Liu, Sanyang

来源：Computers & Mathematics with Applications, 2012, 63(12): 1569-1576.

DOI：10.1016/j.camwa.2012.01.002

• Second-order cone programming
• Sequence quadratic programming method
• Filter technique
• Trust region method
• Global convergence

In this paper, we consider the nonlinear second-order cone programming problem. By combining an SQP method and filter technique, we present a trust region SQP-filter method for solving this problem. The proposed algorithm avoids using the classical merit function with penalty term. Furthermore, under standard assumptions, we prove that the iterative sequence generated by the presented algorithm converges globally. Preliminary numerical results indicate that the algorithm is promising.

• 出版日期2012-6
• 单位电子科技大学; 西安电子科技大学; 西安工业大学