Global convergence of a trust-region SQP-filter algorithm for general nonlinear programming

Roger Fletcher*, Nicholas I M Gould, Sven Leyffer, Philippe L. Toint, Andreas Wächter

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

210 Scopus citations

Abstract

A trust-region SQP-filter algorithm of the type introduced by Fletcher and Leyffer [Math. Program., 91 (2002), pp. 239-269] that decomposes the step into its normal and tangential components allows for an approximate solution of the quadratic subproblem and incorporates the safeguarding tests described in Fletcher, Leyffer, and Toint [On the Global Convergence of an SLP-Filter Algorithm, Technical Report 98/13, Department of Mathematics, University of Namur, Namur, Belgium, 1998; On the Global Convergence of a Filter-SQP Algorithm, Technical Report 00/15, Department of Mathematics, University of Namur, Namur, Belgium, 2000] is considered. It is proved that, under reasonable conditions and for every possible choice of the starting point, the sequence of iterates has at least one first-order critical accumulation point.

Original languageEnglish (US)
Pages (from-to)635-659
Number of pages25
JournalSIAM Journal on Optimization
Volume13
Issue number3
DOIs
StatePublished - 2003

Keywords

  • Convergence theory
  • Filter methods
  • Nonlinear optimization
  • Sequential quadratic programming

ASJC Scopus subject areas

  • Software
  • Theoretical Computer Science

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