| A ROBUST SQP METHOD BASED ON A SMOOTHING APPROXIMATE PENALTY FUNCTION FOR INEQUALITY CONSTRAINED OPTIMIZATION |
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| 引用本文： | ZHANGJuliang ZHANGXiangsun. A ROBUST SQP METHOD BASED ON A SMOOTHING APPROXIMATE PENALTY FUNCTION FOR INEQUALITY CONSTRAINED OPTIMIZATION[J]. 系统科学与复杂性, 2002, 15(1): 102-112 |
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| 作者姓名： | ZHANGJuliang ZHANGXiangsun |
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| 作者单位： | Institute of Applied Mathematics，Academy ofMathematics and Systems Science，Chinese Academy ofSciences，Beijing 100080，China |
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| 基金项目： | This research is supportedin part by the National Natural Science Foundation ofChina(Grant No. 39830070). |
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| 摘 要： | 1 IntroductionConsider the following inequality constrained optiInization problem:Inin f(x)xeRn(1)s.t. g(x) 5 0where f: R1'-R, g: R"-Rm are cofltinuousIy differentiable functions.SQP method for soIving problem(1) is to gellerate a sequence {xk} converging…
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| 关 键 词： | 非线性最优问题 SQP方法 整体收敛 |
A ROBUST SQP METHOD BASED ON A SMOOTHING APPROXIMATE PENALTY FUNCTION FOR INEQUALITY CONSTRAINED OPTIMIZATION |
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| ZHANG Juliang,ZHANG Xiangsun. A ROBUST SQP METHOD BASED ON A SMOOTHING APPROXIMATE PENALTY FUNCTION FOR INEQUALITY CONSTRAINED OPTIMIZATION[J]. Journal of Systems Science and Complexity, 2002, 15(1): 102-112 |
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| Authors: | ZHANG Juliang ZHANG Xiangsun |
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| Abstract: | A robust SQP method, which is analogous to Facchinei's algorithm, is introduced. The algorithm is globally convergent. It uses automatic rules for choosing penalty parameter, and can efficiently cope with the possible inconsistency of the quadratic search subproblem. In addition, the algorithm employs a differentiable approximate exact penalty function as a merit function. Unlike the merit function in Facchinei's algorithm, which is quite complicated and is not easy to be implemented in practice, this new merit function is very simple. As a result, we can use the Facchinei's idea to construct an algorithm which is easy to be implemented in practice. |
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| Keywords: | SQP method global convergence inequality constrained optimization approximate differentiable exact penalty regularity condition. |
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