A trust region SQP-filter method for nonlinear second-order cone programming

Authors:
Xiangsong Zhang;Zhenhua Liu;Sanyang Liu
Affiliations:
Applied Mathematics Department, Xi'an Technological University, Xi'an, Shaanxi 710032, China;Network and Data Security Key Laboratory of Sichuan Province, University of Electronic Science and Technology of China, Chengdu, Sichuan 611731, China and Department of Mathematics, Xidian Univers ...;Department of Mathematics, Xidian University, Xi'an, Shaanxi 710071, China
Venue:
Computers & Mathematics with Applications
Year:
2012

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Abstract

In this paper, we consider the nonlinear second-order cone programming problem. By combining an SQP method and filter technique, we present a trust region SQP-filter method for solving this problem. The proposed algorithm avoids using the classical merit function with penalty term. Furthermore, under standard assumptions, we prove that the iterative sequence generated by the presented algorithm converges globally. Preliminary numerical results indicate that the algorithm is promising.