A Filter Active-Set Algorithm for Ball/Sphere Constrained Optimization Problem

In this paper, we propose a filter active-set algorithm for the minimization problem over a product of multiple ball/sphere constraints. By making effective use of the special structure of the ball/sphere constraints, a new limited memory BFGS (L-BFGS) scheme is presented. The new L-BFGS implementation takes advantage of the sparse structure of the Jacobian of … Read more

Solution Analysis for the Pseudomonotone Second-order Cone Linear Complementarity Problem

In this paper, we study properties of the solution of the pseudomonotone second-order cone linear complementarity problems (SOCLCP). Based upon Tao’s recent work [Tao, J. Optim. Theory Appl., 159(2013), pp. 41–56] on pseudomonotone LCP on Euclidean Jordan algebras, we made two noticeable contributions on the solutions of the pseudomonotone SOCLCP: First, we introduce the concept … Read more

Nonmonotone Filter Method for Nonlinear Optimization

We propose a new nonmonotone filter method to promote global and fast local convergence for sequential quadratic programming algorithms. Our method uses two filters: a global g-filter for global convergence, and a local nonmonotone l-filter that allows us to establish fast local convergence. We show how to switch between the two filters efficiently, and we … Read more