A sequential quadratic programming algorithm with non-monotone line search

	A sequential quadratic programming algorithm with non-monotone line search
	Dai, Yu-Hong1 ; Schittkowski, Klaus 2
	2008-05-01
发表期刊	PACIFIC JOURNAL OF OPTIMIZATION
ISSN	1348-9151
卷号	4 期号:2 页码:335-351
摘要	Today, many practical smooth nonlinear programming problems are routinely solved by sequential quadratic programming (SQP) methods stabilized by a monotone line search procedure subject to a suitable merit function. In case of computational errors as for example caused by inaccurate function or gradient evaluations, however, the approach is unstable and often terminates with an error message. To reduce the number of false terminations, a non-monotone line search is proposed which allows the acceptance of a step length even with an increased merit function value. Thus, the subsequent step may become larger than in case of a monotone line search and the whole iteration process is stabilized. Convergence of the new SQP algorithm is proved assuming exact arithmetic, and numerical results are included. As expected, no significant improvements are observed if function values are computed within machine accuracy. To model more realistic and more difficult, situations, we add randomly generated errors to function values and show that a drastic improvement of the performance is achieved compared to monotone line search. This situation is very typical for complex simulation programs producing inaccurate function values and where, even worse, derivatives are nevertheless computed by forward differences.
关键词	SQP sequential quadratic programming nonlinear programming non-monotone line search merit function convergence numerical results
语种	英语
资助项目	Alexander von Humboldt foundation[CHN/1112740 STP]
WOS研究方向	Operations Research & Management Science ; Mathematics
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000258567800010
出版者	YOKOHAMA 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/6568
专题	计算数学与科学工程计算研究所
通讯作者	Dai, Yu-Hong
作者单位	1.Chinese Acad Sci, State Key Lab Sci & Eng Comp, Inst Computat Math & Sci Engn Comp, Acad Math & Syst Sci, Beijing 100190, Peoples R China 2.Univ Bayreuth, Dept Comp Sci, D-95440 Bayreuth, Germany
推荐引用方式 GB/T 7714	Dai, Yu-Hong,Schittkowski, Klaus. A sequential quadratic programming algorithm with non-monotone line search[J]. PACIFIC JOURNAL OF OPTIMIZATION,2008,4(2):335-351.
APA	Dai, Yu-Hong,&Schittkowski, Klaus.(2008).A sequential quadratic programming algorithm with non-monotone line search.PACIFIC JOURNAL OF OPTIMIZATION,4(2),335-351.
MLA	Dai, Yu-Hong,et al."A sequential quadratic programming algorithm with non-monotone line search".PACIFIC JOURNAL OF OPTIMIZATION 4.2(2008):335-351.