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Numerical Algorithms

, Volume 56, Issue 4, pp 537–559 | Cite as

A non-monotone line search multidimensional filter-SQP method for general nonlinear programming

  • Chao Gu
  • Detong Zhu
Original Paper

Abstract

In this paper, we propose a non-monotone line search multidimensional filter-SQP method for general nonlinear programming based on the Wächter–Biegler methods for nonlinear equality constrained programming. Under mild conditions, the global convergence of the new method is proved. Furthermore, with the non-monotone technique and second order correction step, 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. Numerical results show that the new approach is efficient.

Keywords

General nonlinear programming Non-monotone Line search Multidimensional filter Convergence Maratos effect 

Mathematics Subject Classifications (2010)

49M37 65K05 90C30 90C55 

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Copyright information

© Springer Science+Business Media, LLC. 2010

Authors and Affiliations

  1. 1.School of Math. and Info.Shanghai LiXin University of CommerceShanghaiPeople’s Republic of China
  2. 2.Business CollegeShanghai Normal UniversityShanghaiPeople’s Republic of China

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