Nonmonotone Filter Method for Nonlinear Optimization
نویسندگان
چکیده
We propose a new nonmonotone filter method to promote global and fast local convergence for sequential quadratic programming algorithms. Our method uses two filters: a global gfilter for global convergence, and a local nonmonotone l-filter that allows us to establish fast local convergence. We show how to switch between the two filters efficiently, and we prove global and superlinear local convergence. A special feature of the proposed method is that it does not require second-order correction steps. We present preliminary numerical results comparing our implementation with a classical filter SQP method.
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