Sequential penalty algorithm for nonlinear constrained optimization

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	Sequential penalty algorithm for nonlinear constrained optimization
	Zhang, JL; Zhang, XS
	2003-09-01
发表期刊	JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
ISSN	0022-3239
卷号	118 期号:3 页码:635-655
摘要	In this paper, a new sequential penalty algorithm, based on the Linfinity exact penalty function, is proposed for a general nonlinear constrained optimization problem. The algorithm has the following characteristics: it can start from an arbitrary initial point; the feasibility of the subproblem is guaranteed; the penalty parameter is adjusted automatically; global convergence without any regularity assumption is proved. The update formula of the penalty parameter is new. It is proved that the algorithm proposed in this paper behaves equivalently to the standard SQP method after sufficiently many iterations. Hence, the local convergence results of the standard SQP method can be applied to this algorithm. Preliminary numerical experiments show the efficiency and stability of the algorithm.
关键词	nonlinear optimization SQP method sequential penalty algorithm global convergence superlinear convergence
语种	英语
WOS研究方向	Operations Research & Management Science ; Mathematics
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000186732200009
出版者	KLUWER ACADEMIC/PLENUM PUBL
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/18272
专题	应用数学研究所
作者单位	Chinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Zhang, JL,Zhang, XS. Sequential penalty algorithm for nonlinear constrained optimization[J]. JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS,2003,118(3):635-655.
APA	Zhang, JL,&Zhang, XS.(2003).Sequential penalty algorithm for nonlinear constrained optimization.JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS,118(3),635-655.
MLA	Zhang, JL,et al."Sequential penalty algorithm for nonlinear constrained optimization".JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS 118.3(2003):635-655.