A new filter QP-free method for the nonlinear inequality constrained optimization problem

• Published in: Journal of inequalities and applications 2018, Vol.2018 (1), p.1-14, Article 278
• Main Authors: Shang, Youlin, Jin, Zheng-Fen, Pu, Dingguo
• Format: Article
• Language: English
• Subjects: Analysis; Applications of Mathematics; Convergence; Economic models; Filter method; Incompatibility; Iterative methods; Mathematics; Mathematics and Statistics; Nonlinear constrained optimization; Nonlinear programming; Nonmonotone line search; Optimization; QP-free method
• ISSN: 1029-242X; 1025-5834; 1029-242X
• DOI: 10.1186/s13660-018-1851-3

In this paper, a filter QP-free infeasible method with nonmonotone line search is proposed for minimizing a smooth optimization problem with smooth inequality constraints. This proposed method is based on the solution of nonsmooth equations, which are obtained by the Lagrangian multiplier method and the function of the nonlinear complementarity problem for the Karush–Kuhn–Tucker optimality conditions. Especially, each iteration of this method can be viewed as a perturbation of a Newton or quasi-Newton iteration on both the primal and dual variables for the solution of the Karush–Kuhn–Tucker optimality conditions. What is more, it is considered to use the function of the nonlinear complementarity problem in the filter, which makes the proposed algorithm avoid the incompatibility. Then the global convergence of the proposed method is given. And under some mild conditions, the superlinear convergence rate can be obtained. Finally, some preliminary numerical results are shown to illustrate that the proposed filter QP-free infeasible method is quite promising.