首页 | 本学科首页   官方微博 | 高级检索  
     

解等式约束规划的信赖域SQP滤子方法
引用本文:王华. 解等式约束规划的信赖域SQP滤子方法[J]. 内蒙古师范大学学报(自然科学版), 2008, 37(1): 1-5
作者姓名:王华
作者单位:同济大学应用数学系,上海200092
摘    要:讨论了一种信赖域SQP滤子方法的局部收敛性.滤子方法会遇到Maratos效应,尽管完全牛顿步可能是一个超线性收敛步,但是当迭代点充分靠近原问题的严格局部解时,完全牛顿步可能会使目标函数值和约束违反度上升,从而不被算法接受,于是破坏了算法的收敛性.给出一种修改后的信赖域SQP滤子算法,当完全步不被接受时,对算法进行二阶校正(SOC),可以减小其不可行性.修改后的算法可以避免Maratos效应,使算法达到局部超线性收敛.

关 键 词:SQP方法  信赖域  滤子  二阶校正  Maratos效应  局部收敛
文章编号:1001-8735(2008)01-0001-05
收稿时间:2007-04-08
修稿时间:2007-04-08

Trust Region SQP Filter Method for Equality Constrained Optimization
WANG Hua. Trust Region SQP Filter Method for Equality Constrained Optimization[J]. Journal of Inner Mongolia Normal University(Natural Science Edition), 2008, 37(1): 1-5
Authors:WANG Hua
Abstract:The local convergence properties of the filter trust region algorithm was discussed. The filter approach can suffer from the so-called Maratos effect. Although the full Newton step may be a superlinear convergence step ,it increases both the objective function and the constrained violation if the iteration point is arbitrarily close to a strict local solution of the NLP,and is therefore rejected by the algorithm. In this case the Maratos effect occurs and results in poor local convergence behavior. As a remedy,the infeasibility is improved in this paper. A second order correction is used if the full step is rejected. It is shown that this modification is indeed able to prevent the Maratos effect so that the algorithm can obtain the local superlinear convergence.
Keywords:SQP method   trust region   filter   second order correction   Maratos effect   local convergence
本文献已被 维普 万方数据 等数据库收录!
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号