A Kind of NLP Algorithm with NCP Function
In this paper, two modifications are proposed for minimizing the nonlinear optimization problem (NLP) based on Fletcher and Leyffer’s filter method which is different from traditional merit function with penalty term. We firstly modify one component of filter pairs with NCP function instead of violation constrained function in order to avoid the difficulty of selecting penalty parameters. We also proved that the modified algorithm is globally and super linearly convergent under certain conditions. We secondly convert objective function to augmented Lagrangian function in case of incompatibility caused by sub-problems.
A. P. Jiang and F. W. Huang, "A Kind of NLP Algorithm with NCP Function", Key Engineering Materials, Vols. 467-469, pp. 877-881, 2011