KMS Of Academy of mathematics and systems sciences, CAS
| A sequential quadratic programming algorithm with non-monotone line search | |
Dai, Yu-Hong1 ; Schittkowski, Klaus2
| |
| 2008-05-01 | |
| Source Publication | PACIFIC JOURNAL OF OPTIMIZATION
 |
| ISSN | 1348-9151 |
| Volume | 4Issue:2Pages:335-351 |
| Abstract | 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. |
| Keyword | SQP sequential quadratic programming nonlinear programming non-monotone line search merit function convergence numerical results |
| Language | 英语 |
| Funding Project | Alexander von Humboldt foundation[CHN/1112740 STP] |
| WOS Research Area | Operations Research & Management Science ; Mathematics |
| WOS Subject | Operations Research & Management Science ; Mathematics, Applied |
| WOS ID | WOS:000258567800010 |
| Publisher | YOKOHAMA PUBL |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/6568 |
| Collection | 计算数学与科学工程计算研究所 |
| Corresponding Author | Dai, Yu-Hong |
| Affiliation | 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 |
| Recommended Citation 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. |
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