A Modified SQP Method with Nonmonotone Linesearch Technique

Authors:
Ju-Liang Zhang;Xiang-Sun Zhang
Affiliations:
Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing, 100080, China;Institute of Applied Mathematics, Academy of Mathematics and System Sciences, Chinese Academy of Sciences, Beijing, 100080, China (e-mail: xszhang@amath2.amt.ac.cn)
Venue:
Journal of Global Optimization
Year:
2001

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Abstract

In this paper, a modified SQP method with nonmonotone line search technique is presented based on the modified quadratic subproblem proposed in Zhou (1997) and the nonmonotone line search technique. This algorithm starts from an arbitrary initial point, adjusts penalty parameter automatically and can overcome the Maratos effect. What is more, the subproblem is feasible at each iterate point. The global and local superlinear convergence properties are obtained under certain conditions.