A NEW CONSTRAINTS IDENTIFICATION TECHNIQUE-BASED QP-FREE ALGORITHM FOR THE SOLUTION OF INEQUALITY CONSTRAINED MINIMIZATION PROBLEMS

作     者：Chang-yin Zhou Guo-ping He Yong-li Wang 

作者机构：Department of Mathematics Shanghai Jiao Tong University Shanghai 200240 China College of Information Science and Engineering Shandong University of Science and Technology Qingdao 266510 China College of Information Science and Engineering Shandong University of Science and Technology Qingdao 266510 China 

出 版 物：《Journal of Computational Mathematics》 (计算数学（英文）)

年 卷 期：2006年第24卷第5期

页      面：591-608页

核心收录：

学科分类：07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070102[理学-计算数学] 0701[理学-数学] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

基　　金：This work is supported by the National Natural Science Foundation of China (10571109) 

主　　题：QP-free method Optimization Global convergence Superlinear convergence,Constraints identification technique. 

摘      要：In this paper, we propose a feasible QP-free method for solving nonlinear inequality constrained optimization problems. A new working set is proposed to estimate the active set. Specially, to determine the working set, the new method makes use of the multiplier information from the previous iteration, eliminating the need to compute a multiplier function. At each iteration, two or three reduced symmetric systems of linear equations with a common coefficient matrix involving only constraints in the working set are solved, and when the iterate is sufficiently close to a KKT point, only two of them are involved. Moreover, the new algorithm is proved to be globally convergent to a KKT point under mild conditions. Without assuming the strict complementarity, the convergence rate is superlinear under a condition weaker than the strong second-order sufficiency condition. Numerical experiments illustrate the efficiency of the algorithm.