Line Search Filter Methods for Nonlinear Programming: Local Convergence

Copyright © [2005] by The Society for Industrial and Applied Mathematics. All rights reserved

A line search method is proposed for nonlinear programming using Fletcher and Leyffer’s filter method, which replaces the traditional merit function. Global convergence properties of this method was analyzed in a companion paper. Here a simple modification of the method introducing second order correction steps is presented. It is shown that the proposed method does not suffer from the Maratos effect, so that fast local convergence to strict local solutions is achieved.

By: Andreas Wächter, Lorenz T. Biegler

Published in: SIAM Journal on Optimization, volume 16, (no 1), pages 32-48 in 2005


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