解非线性互补问题的非单调可行SQP方法  

A Nonmonotone Feasible SQP Method for Nonlinear Complementarity Problem

作　　者：王华[1] 

机构地区：[1]上海立信会计学院数学与信息学院,上海201620

出　　处：《运筹学学报》2011年第2期85-94,共10页Operations Research Transactions

基　　金：上海优秀青年教师科研专项基金(No.slx08019);上海市本级财政部门预算项目(No.1139IA0013)

摘　　要：非线性互补问题可以转化成非线性约束优化问题.提出一种非单调线搜索的可行SQP方法.利用QP子问题的K-T点得到一个可行下降方向,通过引入一个高阶校正步以克服Maratos效应.同时,算法采用非单调线搜索技巧获得搜索步长.证明全局收敛性时不需要严格互补条件,最后给出数值试验.The nonlinear complementarity problem can be reformulated as a nonlinear programming.This paper proposes a feasible SQP method with nonmonotone line search,and obtains a feasible descent direction by full use of the K-T point pair of a QP subproblem without other additional cost.A high-order direction is computed to overcome the Maratos effect.Instead of filter method,a nonmonotone line search is used to obtain the step length.Under some suitable conditions,not including the strict complementary condition,the global convergence of the algorithm is obtained.Some numerical results are also reported in this paper.

关 键 词：约束优化 序列二次规划 积极集 非单调技巧 收敛性 

分 类 号：O221[理学—运筹学与控制论]