Global Convergence of a New Nonmonotone Filter Method for Equality Constrained Optimization

Abstract EN

A new nonmonotone filter trust region method is introduced for solving optimization problems with equality constraints.

This method directly uses the dominated area of the filter as an acceptability criterion for trial points and allows the dominated area decreasing nonmonotonically.

Compared with the filter-type method, our method has more flexible criteria and can avoid Maratos effect in a certain degree.

Under reasonable assumptions, we prove that the given algorithm is globally convergent to a first order stationary point for all possible choices of the starting point.

Numerical tests are presented to show the effectiveness of the proposed algorithm.