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On an inexact trust-region SQP-filter method for constrained nonlinear optimization

Andrea Walther(andrea.walther***at***uni-paderborn.de)
Lorenz T. Biegler(biegler***at***cmu.edu)

Abstract: A class of trust-region algorithms is developed and analyzed for the solution of optimization problems with nonlinear equality and inequality constraints. Based on composite-step trust region methods and a filter approach, the resulting algorithm also does not require the computation of exact Jacobians; only Jacobian vector products are used along with approximate Jacobian matrices. As demonstrated on numerical examples, this feature has significant potential benefits for problems where Jacobian calculations are expensive.

Keywords: Inexact trust region methods, filter technique, general constrained optimization

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

Citation: Institut f\"ur Mathematik, Universit\"at Paderborn, October 2014

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Entry Submitted: 10/14/2014
Entry Accepted: 10/14/2014
Entry Last Modified: 10/14/2014

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