IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v206y2010i1p34-45.html
   My bibliography  Save this article

Global convergence of a robust filter SQP algorithm

Author

Listed:
  • Shen, Chungen
  • Xue, Wenjuan
  • Chen, Xiongda

Abstract

We present a robust filter SQP algorithm for solving constrained optimization problems. This algorithm is based on the modified quadratic programming proposed by Burke to avoid the infeasibility of the quadratic programming subproblem at each iteration. Compared with other filter SQP algorithms, our algorithm does not require any restoration phase procedure which may spend a large amount of computation. The main advantage of our algorithm is that it is globally convergent without requiring strong constraint qualifications, such as Mangasarian-Fromovitz constraint qualification (MFCQ) and the constant rank constraint qualification (CRCQ). Furthermore, the feasible limit points of the sequence generated by our algorithm are proven to be the KKT points if some weaker conditions are satisfied. Numerical results are also presented to show the efficiency of the algorithm.

Suggested Citation

  • Shen, Chungen & Xue, Wenjuan & Chen, Xiongda, 2010. "Global convergence of a robust filter SQP algorithm," European Journal of Operational Research, Elsevier, vol. 206(1), pages 34-45, October.
  • Handle: RePEc:eee:ejores:v:206:y:2010:i:1:p:34-45
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(10)00162-1
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Lopez, Marco & Still, Georg, 2007. "Semi-infinite programming," European Journal of Operational Research, Elsevier, vol. 180(2), pages 491-518, July.
    2. Jian, Jin-Bao & Xu, Qing-Juan & Han, Dao-Lan, 2008. "A norm-relaxed method of feasible directions for finely discretized problems from semi-infinite programming," European Journal of Operational Research, Elsevier, vol. 186(1), pages 41-62, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:eee:apmaco:v:296:y:2017:i:c:p:277-288 is not listed on IDEAS
    2. Trindade, Graça & Ambrósio, Jorge, 2012. "An optimization method to estimate models with store-level data: A case study," European Journal of Operational Research, Elsevier, vol. 217(3), pages 664-672.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:206:y:2010:i:1:p:34-45. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/eor .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.