A nonmonotone filter method for nonlinear optimization
AbstractWe propose a new nonmonotone filter method to promote global and fast local convergence for sequential quadratic programming algorithms. Our method uses two filters: a standard, global g-filter for global convergence, and a local nonmonotone l-filter that allows us to establish fast local convergence. We show how to switch between the two filters efficiently, and we prove global and superlinear local convergence. A special feature of the proposed method is that it does not require second-order correction steps. We present preliminary numerical results comparing our implementation with a classical filter SQP method. Copyright Springer Science+Business Media, LLC 2012
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Bibliographic InfoArticle provided by Springer in its journal Computational Optimization and Applications.
Volume (Year): 52 (2012)
Issue (Month): 3 (July)
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Web page: http://www.springer.com/math/journal/10589
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