A globally and superlinearly convergent feasible QP-free method for nonlinear programming

摘要

In this paper, we propose a QP-free type algorithm which solves the problem of minimizing a smooth function subject to smooth inequality constraints. In contrast with the SQP methods, each iteration this algorithm only needs to solve systems of linear equations which are derived from the equality part in the KKT first order optimality conditions. It is observed that, if the quasi-Newton direction is zero, we can obtain a direction of descent by dropping a constraint from the active set at the current iterate. A high order modified direction is introduced in order to prevent Maratos effect. Global and superlinear convergence are proven under some suitable conditions. (c) 2004 Elsevier Inc. All rights reserved.