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2014 Improved Filter-SQP Algorithm with Active Set for Constrained Minimax Problems
Zhijun Luo, Lirong Wang
J. Appl. Math. 2014: 1-7 (2014). DOI: 10.1155/2014/293475

Abstract

An improved filter-SQP algorithm with active set for constrained finite minimax problems is proposed. Firstly, an active constraint subset is obtained by a pivoting operation procedure. Then, a new quadratic programming (QP) subproblem is constructed based on the active constraint subset. The main search direction dk is obtained by solving this (QP) subproblem which is feasible at per iteration point and need not to consider the penalty function by using the filter technique. Under some suitable conditions, the global convergence of our algorithm is established. Finally, some numerical results are reported to show the effectiveness of the proposed algorithm.

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Zhijun Luo. Lirong Wang. "Improved Filter-SQP Algorithm with Active Set for Constrained Minimax Problems." J. Appl. Math. 2014 1 - 7, 2014. https://doi.org/10.1155/2014/293475

Information

Published: 2014
First available in Project Euclid: 2 March 2015

zbMATH: 07131494
MathSciNet: MR3259204
Digital Object Identifier: 10.1155/2014/293475

Rights: Copyright © 2014 Hindawi

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