Convergence Analysis of a Sequential Systems of Linear Equations Filter Algorithm

Abstract:

An infeasible sequential systems of linear equations filter algorithm was proposed by author.It combines QPfree methods and filter technique so that it is unnecessary to choose the problematic penalty parameter.That algorithm only needs to solve two systems of linear equations with the same nonsingular coefficient matrix. To some extent,the deficiency of the current SQPtype filter algorithms can be overcome.Based on the algorithm,the second order correction step is computated by adding a system of linear equation,and the Maratos effect can be avoided. Under suitable conditions, the locally superlinear convergence is proved.