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不等式约束优化一个新的SQP算法

朱志斌,张可村   

  1. 西安交通大学理学院科学计算与应用软件系,西安交通大学理学院科学计算与应用软件系 西安 710049 广西桂林电子工业学院计算科学与数学系 桂林 541004 ,西安 710049
  • 出版日期:2004-04-14 发布日期:2004-04-14

朱志斌,张可村. 不等式约束优化一个新的SQP算法[J]. 计算数学, 2004, 26(4): 413-426.

A NEW SQP ALGORITHM FOR INEQUALITY CONSTRAINED OPTIMIZATION

  1. Zhu Zhibin~(1,2) Zhang Kecun~1 1 (Faculty of Science,Xi'an Jiaotong University, Xi'an,710049) 2 (Department of Computational Science and Mathematics, Guilin Institute of Electronic Technology, Guilin, 541004)
  • Online:2004-04-14 Published:2004-04-14
本文提出了一个处理不等式约束优化问题的新的SQP算法,和传统的SQP算法相比,该算法每步只需求解一个仅含等式约束的子二次规划,从而减少了算法的计算工作量,在适当的条件下,证明算法是全局收敛的且具有超线性收敛速度,数值实验表明算法是有效的。
In this paper, a new SQP method is presented to solve inequality constrained optimization. On contrary with traditional SQP algorithm, per single iteration, it is only necessary to solve one QP subproblem with equality constraints. Thus, the computational cost is reduced. Under some suitable assumptions, we prove that the algorithm is global convergence as well as superlinear convergence. The numerical results show that the method in this paper is effective.
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