Line search filter methods for nonlinear programming: Local convergence

Andreas Wächter; Lorenz T. Biegler

doi:10.1137/S1052623403426544

Line search filter methods for nonlinear programming: Local convergence

Andreas Wächter^*, Lorenz T. Biegler

^*Corresponding author for this work

Industrial Engineering and Management Sciences

Research output: Contribution to journal › Article › peer-review

157 Scopus citations

Abstract

A line search method is proposed for nonlinear programming using Fletcher and Leyffer's filter method, which replaces the traditional merit function. A simple modification of the method proposed in a companion paper [SIAM J. Optim., 16 (2005), pp. 1-31] introducing second order correction steps is presented. It is shown that the proposed method does not suffer from the Maratos effect, so that fast local convergence to second order sufficient local solutions is achieved.

Original language	English (US)
Pages (from-to)	32-48
Number of pages	17
Journal	SIAM Journal on Optimization
Volume	16
Issue number	1
DOIs	https://doi.org/10.1137/S1052623403426544
State	Published - 2006

Keywords

Filter method
Line search
Local convergence
Maratos effect
Nonconvex constrained optimization
Nonlinear programming
Second order correction

ASJC Scopus subject areas

Software
Theoretical Computer Science

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10.1137/S1052623403426544

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abstract = "A line search method is proposed for nonlinear programming using Fletcher and Leyffer's filter method, which replaces the traditional merit function. A simple modification of the method proposed in a companion paper [SIAM J. Optim., 16 (2005), pp. 1-31] introducing second order correction steps is presented. It is shown that the proposed method does not suffer from the Maratos effect, so that fast local convergence to second order sufficient local solutions is achieved.",

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year = "2006",

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T1 - Line search filter methods for nonlinear programming

T2 - Local convergence

AU - Wächter, Andreas

AU - Biegler, Lorenz T.

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AB - A line search method is proposed for nonlinear programming using Fletcher and Leyffer's filter method, which replaces the traditional merit function. A simple modification of the method proposed in a companion paper [SIAM J. Optim., 16 (2005), pp. 1-31] introducing second order correction steps is presented. It is shown that the proposed method does not suffer from the Maratos effect, so that fast local convergence to second order sufficient local solutions is achieved.

KW - Filter method

KW - Line search

KW - Local convergence

KW - Maratos effect

KW - Nonconvex constrained optimization

KW - Nonlinear programming

KW - Second order correction

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JO - SIAM Journal on Optimization

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Line search filter methods for nonlinear programming: Local convergence

Abstract

Keywords

ASJC Scopus subject areas

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