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A secant algorithm with line search filter method for nonlinear optimization. (English) Zbl 1205.90007
Summary: Filter methods were initially designed for nonlinear programming problems by Fletcher and Leyffer. In this paper we propose a secant algorithm with line search filter method for nonlinear equality constrained optimization. The algorithm yields the global convergence under some reasonable conditions. By using the Lagrangian function value in the filter we establish that the proposed algorithm can overcome the Maratos effect without using second order correction step, so that fast local superlinear convergence to second order sufficient local solution is achieved. The primary numerical results are presented to confirm the robustness and efficiency of our approach.

90-04 Software, source code, etc. for problems pertaining to operations research and mathematical programming
90C30 Nonlinear programming
Full Text: DOI
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