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Improved Filter‐SQP Algorithm with Active Set for Constrained Minimax Problems

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  • Zhijun Luo
  • Lirong Wang

Abstract

An improved filter‐SQP algorithm with active set for constrained finite minimax problems is proposed. Firstly, an active constraint subset is obtained by a pivoting operation procedure. Then, a new quadratic programming (QP) subproblem is constructed based on the active constraint subset. The main search direction dk is obtained by solving this (QP) subproblem which is feasible at per iteration point and need not to consider the penalty function by using the filter technique. Under some suitable conditions, the global convergence of our algorithm is established. Finally, some numerical results are reported to show the effectiveness of the proposed algorithm.

Suggested Citation

  • Zhijun Luo & Lirong Wang, 2014. "Improved Filter‐SQP Algorithm with Active Set for Constrained Minimax Problems," Journal of Applied Mathematics, John Wiley & Sons, vol. 2014(1).
    • Handle: RePEc:wly:jnljam:v:2014:y:2014:i:1:n:293475
    DOI: 10.1155/2014/293475
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    References listed on IDEAS

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    1. Zhibin Zhu & Kecun Zhang & Jinbao Jian, 2003. "An improved SQP algorithm for inequality constrained optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 58(2), pages 271-282, November.
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