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Sequential penalty algorithm for nonlinear constrained optimization
Zhang, JL; Zhang, XS
2003-09-01
Source PublicationJOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
ISSN0022-3239
Volume118Issue:3Pages:635-655
AbstractIn 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.
Keywordnonlinear optimization SQP method sequential penalty algorithm global convergence superlinear convergence
Language英语
WOS Research AreaOperations Research & Management Science ; Mathematics
WOS SubjectOperations Research & Management Science ; Mathematics, Applied
WOS IDWOS:000186732200009
PublisherKLUWER ACADEMIC/PLENUM PUBL
Citation statistics
Cited Times:3[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/18272
Collection中国科学院数学与系统科学研究院
AffiliationChinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Beijing, Peoples R China
Recommended Citation
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.
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