Nonlinear programming via an exact penalty function: Convergence rate analysis

Abstract

The algorithm proposed by T. F. Colemen and A. R. Conn is improved in this paper, and the improved algorithm can solve nonlinear programming problem with quality constraints. It is shown that the improved algorithm possesses global convergence, and under some conditions, it possesses locally supperlinear convergence.

Keywords

nonlinear programming / exact penalty function / algorithm

References

[1] ColemanT F, ConnA R. Nonlinear programming via an exact penalty function: asymptotic Analysis. Math Prog, 1982, 24: 123-136

[2] DennisJE, JorgeJ. A characterization of superlinear convergence and its application to Quasi-Newton methods. Math Computation, 1974, 28: 549-560

[3] ColemanT F, ConnA R. Nonlinear programming via an exact penalty function: Global analysis. Math Prog, 1982, 24: 137-161

[4] LiXuequanAn improvement SQP algorithm for equality constrained nonlinear programming, 1991, Changsha, Central South University of Technology of Technology

[5] BoggsP, TilleJ W. Augmented Lagrangians which are quadratic in the multiplier. J Optimization Teory and Applications, 1980, 30: 17-26

[6] WrightM HNumerical methods for nonlinearly nonstrained optimization, 1976, Stamford, Standford Univ