Operations Research Transactions ›› 2011, Vol. 15 ›› Issue (1): 46-58.

• Original Articles • Previous Articles     Next Articles

A New Filter Method

PU Ding-Guo, SHAO Wen-Qiong, LIU Mei-Ling, LIU Ci-Wen   

  • Online:2011-03-15 Published:2011-03-15

Abstract: In this paper, we define a new filter  and propose a filter QP-free infeasible method with some piecewise linear relational NCP function   for constrained nonlinear optimization  problems. This iterative method is  based on the solution of nonsmooth equations which  are obtained by the multipliers and the NCP function for the KKT first-order optimality conditions.  Locally, each iteration of this method can be viewed as a perturbation of a mixed Newton-quasi Newton iteration on both the primal and dual variables for the solution of the KKT optimality conditions. We also use the filter on line searches.  This method is  implementable and globally convergent. We also prove that the method has superlinear convergence rate under some mild conditions.