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A combined filter line search and trust region method for nonlinear programming

A framework for solving a class of nonlinear programming problems via the filter method is presented. The proposed technique first solve a sequence of quadratic programming subproblems via line search strategy and to induce global convergence, trial points are accepted provided there is a sufficient...

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Main Authors: Chin, Choong Ming, Halim, Abdul, Rashid, A. H. A., Nor, K. M.
Format: Article
Published: WSEAS Press 2006
Online Access:http://eprints.utm.my/id/eprint/9121/
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spelling my.utm.91212017-10-23T08:42:51Z http://eprints.utm.my/id/eprint/9121/ A combined filter line search and trust region method for nonlinear programming Chin, Choong Ming Halim, Abdul Rashid, A. H. A. Nor, K. M. A framework for solving a class of nonlinear programming problems via the filter method is presented. The proposed technique first solve a sequence of quadratic programming subproblems via line search strategy and to induce global convergence, trial points are accepted provided there is a sufficient decrease in the objective function or constraints violation function. In the event when the step size has reached a minimum threshold such that the trial iterate is rejected by the filter, the algorithm temporarily exits to a trust region based algorithm to generate iterates that approach the feasible region and also acceptable to the filter. Computational results on selected large scale CUTE problems on the prototype code fiILS are very encouraging and numerical performance with LOQO and SNOPT show that the algorithm is efficient and reliable. WSEAS Press 2006 Article PeerReviewed Chin, Choong Ming and Halim, Abdul and Rashid, A. H. A. and Nor, K. M. (2006) A combined filter line search and trust region method for nonlinear programming. WSEAS Transactions on Mathematics, 5 (6). pp. 656-662. ISSN 1109-2769
institution Universiti Teknologi Malaysia
building UTM Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Teknologi Malaysia
content_source UTM Institutional Repository
url_provider http://eprints.utm.my/
description A framework for solving a class of nonlinear programming problems via the filter method is presented. The proposed technique first solve a sequence of quadratic programming subproblems via line search strategy and to induce global convergence, trial points are accepted provided there is a sufficient decrease in the objective function or constraints violation function. In the event when the step size has reached a minimum threshold such that the trial iterate is rejected by the filter, the algorithm temporarily exits to a trust region based algorithm to generate iterates that approach the feasible region and also acceptable to the filter. Computational results on selected large scale CUTE problems on the prototype code fiILS are very encouraging and numerical performance with LOQO and SNOPT show that the algorithm is efficient and reliable.
format Article
author Chin, Choong Ming
Halim, Abdul
Rashid, A. H. A.
Nor, K. M.
spellingShingle Chin, Choong Ming
Halim, Abdul
Rashid, A. H. A.
Nor, K. M.
A combined filter line search and trust region method for nonlinear programming
author_facet Chin, Choong Ming
Halim, Abdul
Rashid, A. H. A.
Nor, K. M.
author_sort Chin, Choong Ming
title A combined filter line search and trust region method for nonlinear programming
title_short A combined filter line search and trust region method for nonlinear programming
title_full A combined filter line search and trust region method for nonlinear programming
title_fullStr A combined filter line search and trust region method for nonlinear programming
title_full_unstemmed A combined filter line search and trust region method for nonlinear programming
title_sort combined filter line search and trust region method for nonlinear programming
publisher WSEAS Press
publishDate 2006
url http://eprints.utm.my/id/eprint/9121/
_version_ 1643645122188935168
score 13.211869

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