Global Convergence of Sequential Systems of Linear Equations(SSLE) Filter Algorithm

Abstract:

The paper presents a new filter algorithm based on the sequential systems of linear equations,and infeasible QP-free method.The new algorithm just needs to solve two systems of linear equations with the same nosingular coefficient matrix and avoids large computational amount and infeasiblility of quadratic subproblems,which are the defects of the existing sequential quadratic programming type algorithms.The X-active set procedure is used to improve the computational effect,and the global convergence of the proposed algorithm is given.Finally,the paper presents the numerical results to validate the efficiency of this new algorithm.