A filter secant method with nonmonotone line search for equality constrained optimization |
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Authors: | Chao Gu Detong Zhu |
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Institution: | 1.School of Mathematics and Informatics,Shanghai LiXin University of Commerce,Shanghai,China;2.Business College,Shanghai Normal University,Shanghai,China |
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Abstract: | This paper proposes a filter secant method with nonmonotone line search for non- linear equality constrained optimization.
The Hessian of the Lagrangian is approximated using the BFGS secant update. This new method has more flexibility for the acceptance
of the trial step and requires less computational costs compared with themonotone one. The global and local convergence of
the proposed method are given under some reasonable conditions. Further, two-step Q-superlinear convergence rate is established by introducing second order correction step. The numerical experiments are reported
to show the effectiveness of the proposed algorithm. |
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Keywords: | |
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