A filter interior-point algorithm with projected Hessianupdating for nonlinear optimization

摘要

Filter approaches, initially presented by Fletcher and Leyffer in 2002, areattractive methods for nonlinear programming. In this paper, we propose an interior-point barrier projected Hessian updating algorithm with line search filter method fornonlinear optimization. The Lagrangian function value instead of the objective func-tion value is used in the filter. The damped BFGS updating is employed to maintainthe positive definiteness of the matrices in projected Hessian updating algorithm. Thenumerical experiments are reported to show the effectiveness of the proposed algo-rithm.