AN INFEASIBLE SSLE FILTER ALGORITHM FOR GENERAL CONSTRAINED OPTIMIZATION WITHOUT STRICT COMPLEMENTARITY

Chungen Shen (), Wenjuan Xue and Dingguo Pu
Additional contact information
Chungen Shen: Department of Applied Mathematics, Shanghai Finance University, 201209, China
Wenjuan Xue: Department of Mathematics and Physics, Shanghai University of Electric Power, 200090, China
Dingguo Pu: Department of Mathematics, Tongji University, 200092, China

Asia-Pacific Journal of Operational Research (APJOR), 2011, vol. 28, issue 03, 361-399

Abstract: In this paper, we propose a new sequential systems of linear equations (SSLE) filter algorithm, which is an infeasible QP-free method. The new algorithm needs to solve a few reduced systems of linear equations with the same nonsingular coefficient matrix, and after finitely many iterations, only two linear systems need to be solved. Furthermore, the nearly active set technique is used to improve the computational effect. Under the linear independence condition, the global convergence is proved. In particular, the rate of convergence is proved to be one-step superlinear without assuming the strict complementarity condition. Numerical results and comparison with other algorithms indicate that the new algorithm is promising.

Keywords: SSLE; line search; strict complementarity; global convergence; superlinear convergence (search for similar items in EconPapers)
Date: 2011
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0217595911003284
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:apjorx:v:28:y:2011:i:03:n:s0217595911003284

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0217595911003284

Access Statistics for this article

Asia-Pacific Journal of Operational Research (APJOR) is currently edited by Gongyun Zhao

More articles in Asia-Pacific Journal of Operational Research (APJOR) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().