An improved feasible QP-free algorithm for inequality constrained optimization

作者：Zhu, Zhi Bin; Jian, Jin Bao

来源：Acta Mathematica Sinica-English Series, 2012, 28(12): 2475-2488.

DOI：10.1007/s10114-012-0561-x

• Inequality constrained optimization
• feasible QP-free method
• system of linear equations
• global convergence
• superlinear convergence rate

In this paper, an improved feasible QP-free method is proposed to solve nonlinear inequality constrained optimization problems. Here, a new modified method is presented to obtain the revised feasible descent direction. In view of the computational cost, the most attractive feature of the new algorithm is that only one system of linear equations is required to obtain the revised feasible descent direction. Thereby, per single iteration, it is only necessary to solve three systems of linear equations with the same coefficient matrix. In particular, without the positive definiteness assumption on the Hessian estimate, the proposed algorithm is still global convergence. Under some suitable conditions, the superlinear convergence rate is obtained.

• 出版日期2012-12
• 单位玉林师范学院; 广西大学; 桂林电子科技大学