A robust algorithm or optimization with general equality and inequality constraints

CSpace

	A robust algorithm or optimization with general equality and inequality constraints
	Liu, XW; Yuan, YX
	2000-08-31
发表期刊	SIAM JOURNAL ON SCIENTIFIC COMPUTING
ISSN	1064-8275
卷号	22 期号:2 页码:517-534
摘要	An algorithm for general nonlinearly constrained optimization is presented, which solves an unconstrained piecewise quadratic subproblem and quadratic programming subproblem at each iterate. The algorithm is robust since it can circumvent the difficulties associated with the possible inconsistency of QP subproblem of the original SQP method. Moreover, the algorithm can converge to point which satis es certain first-order necessary optimality condition even when the original problem is itself infeasible, which is feature of Burke and Han's methods [ Math. Programming, 43 ( 1989), pp. 277-303]. Unlike Burke and Han's methods, our algorithm does not introduce additional bound constraints. The algorithm solves the same subproblems as the Han Powell SQP algorithm at feasible points of the original problem. Under certain assumptions, it is shown that the algorithm coincides with the Han-Powell method when the iterates are sufficiently close to the solution. Some global convergence results are proved and locally superlinear convergence results are also obtained. Preliminary numerical results are reported.
关键词	SQP algorithm constrained optimization convergence
语种	英语
WOS研究方向	Mathematics
WOS类目	Mathematics, Applied
WOS记录号	WOS:000089065200007
出版者	SIAM PUBLICATIONS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/14952
专题	中国科学院数学与系统科学研究院
通讯作者	Liu, XW
作者单位	Chinese Acad Sci, Inst Computat Math & Sci Engn, LSEC, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Liu, XW,Yuan, YX. A robust algorithm or optimization with general equality and inequality constraints[J]. SIAM JOURNAL ON SCIENTIFIC COMPUTING,2000,22(2):517-534.
APA	Liu, XW,&Yuan, YX.(2000).A robust algorithm or optimization with general equality and inequality constraints.SIAM JOURNAL ON SCIENTIFIC COMPUTING,22(2),517-534.
MLA	Liu, XW,et al."A robust algorithm or optimization with general equality and inequality constraints".SIAM JOURNAL ON SCIENTIFIC COMPUTING 22.2(2000):517-534.