A filter secant method with nonmonotone line search for equality constrained optimization

作者：Gu, Chao^*; Zhu, Detong

来源：Journal of Systems Science and Complexity, 2010, 23(4): 846-860.

DOI：10.1007/s11424-010-9051-3

• Convergence
• filter method
• line search
• nonmonotone
• secant update

This paper proposes a filter secant method with nonmonotone line search for non- linear equality constrained optimization. The Hessian of the Lagrangian is approximated using the BFGS secant update. This new method has more flexibility for the acceptance of the trial step and requires less computational costs compared with themonotone one. The global and local convergence of the proposed method are given under some reasonable conditions. Further, two-step Q-superlinear convergence rate is established by introducing second order correction step. The numerical experiments are reported to show the effectiveness of the proposed algorithm.

• 出版日期2010-8
• 单位上海立信会计金融学院; 上海师范大学