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AN ACTIVE SET SEQUENTIAL QUADRATIC PROGRAMMING ALGORITHM FOR NONLINEAR OPTIMISATION

机译:非线性最优化的主动集序二次规划算法

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摘要

In this paper, we have proposed an active set feasible sequential quadratic programming algorithm for nonlinear inequality constraints optimization problems. At each iteration of the proposed algorithm, a feasible direction of descent is obtained by solving a reduced quadratic programming subproblem. To overcome the Maratos effect, a higher-order correction direction is obtained by solving a reduced least square problem. The algorithm is proved to be globally convergent and superlinearly convergent under some mild conditions without strict complementarity.
机译:在本文中,我们针对非线性不等式约束优化问题提出了一种主动集可行序列二次规划算法。在提出的算法的每次迭代中,通过解决减少的二次规划子问题,可以获得可行的下降方向。为了克服马拉托斯效应,通过解决最小二乘问题来获得更高阶的校正方向。证明该算法在没有严格互补性的温和条件下是全局收敛和超线性收敛的。

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