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An \(RQP\) algorithm using a differentiable exact penalty function for inequality constrained problems. (English) Zbl 0767.90060
The authors propose a recursive quadratic programming algorithm for nonlinear programming problems with inequality constraints that uses as merit function a differentiable exact penalty function. This algorithm incorporates an automatic adjustment rule for the selection of the penalty parameter and makes use of an Armijo-type line search procedure that avoids the need to evaluate second order derivatives of the problem functions. One proves that the algorithm possesses global and superlinear convergence properties. Numerical results are presented.

MSC:
90C20 Quadratic programming
90-08 Computational methods for problems pertaining to operations research and mathematical programming
49M30 Other numerical methods in calculus of variations (MSC2010)
49M37 Numerical methods based on nonlinear programming
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