A penalty-free method with line search for nonlinear equality constrained optimization

摘要

A new line search method is introduced for solving nonlinear equality constrained optimization problems. It does not use any penalty function or a filter. At each iteration, the trial step is determined such that either the value of the objective function or the measure of the constraint violation is sufficiently reduced. Under usual assumptions, it is shown that every limit point of the sequence of iterates generated by the algorithm is feasible, and there exists at least one limit point that is a stationary point for the problem. A simple modification of the algorithm by introducing second order correction steps is presented. It is shown that the modified method does not suffer from the Maratos' effect, so that it converges superlinearly. The preliminary numerical results are reported.