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约束Minimax问题的SQP-Filter算法

发表时间:2011-01-15  浏览量:1591  下载量:717
全部作者: 谢亚君,马昌凤
作者单位: 福建江夏学院信息技术系;福建师范大学数学与计算机科学学院
摘 要: 提出了一个求解带等式和不等式约束的Minimax问题的SQP-Filter算法,每步通过求解2个二次规划子问题得到搜索方向,并沿该方向做线搜索。该算法避免了较难的罚因子选取,克服了Maratos效应。并在适当的假设下,得到了算法的全局收敛性。
关 键 词: 运筹学;Minimax问题;SQP-Filter算法;全局收敛性
Title: SQP-Filter method for constrained Minimax problem
Author: XIE Yajun, MA Changfeng
Organization: Department of Information Technology, Fujian Jiangxia College; School of Mathematics and Computer Science, Fujian Normal University
Abstract: In this paper, a SQP-Filter method is proposed for solving Minimax problems with equality and inequality constraints. In each step, a quadratic programming sub-problem is solved to get the search direction which is used as line search. This method avoids the difficulty of selecting the penalty factor and overcomes Maratos effects successfully. Its global convergence is obtained under some suitable conditions.
Key words: operations research; Minimax problem; SQP-Filter method; global convergence
发表期数: 2011年1月第1期
引用格式: 谢亚君,马昌凤. 约束Minimax问题的SQP-Filter算法[J]. 中国科技论文在线精品论文,2011,4(1):56-62.
 
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