Journal of Applied Mathematics

Improved Filter-SQP Algorithm with Active Set for Constrained Minimax Problems

Zhijun Luo and Lirong Wang

Full-text: Open access

Abstract

An improved filter-SQP algorithm with active set for constrained finite minimax problems is proposed. Firstly, an active constraint subset is obtained by a pivoting operation procedure. Then, a new quadratic programming (QP) subproblem is constructed based on the active constraint subset. The main search direction d k is obtained by solving this (QP) subproblem which is feasible at per iteration point and need not to consider the penalty function by using the filter technique. Under some suitable conditions, the global convergence of our algorithm is established. Finally, some numerical results are reported to show the effectiveness of the proposed algorithm.

Article information

Source
J. Appl. Math., Volume 2014 (2014), Article ID 293475, 7 pages.

Dates
First available in Project Euclid: 2 March 2015

Permanent link to this document
https://projecteuclid.org/euclid.jam/1425306022

Digital Object Identifier
doi:10.1155/2014/293475

Mathematical Reviews number (MathSciNet)
MR3259204

Citation

Luo, Zhijun; Wang, Lirong. Improved Filter-SQP Algorithm with Active Set for Constrained Minimax Problems. J. Appl. Math. 2014 (2014), Article ID 293475, 7 pages. doi:10.1155/2014/293475. https://projecteuclid.org/euclid.jam/1425306022


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