A trust region SQP-filter method for nonlinear second-order cone programming
In this paper, we consider the nonlinear second-order cone programming problem. By combining an SQP method and filter technique, we present a trust region SQP-filter method for solving this problem. The proposed algorithm avoids using the classical merit function with penalty term. Furthermore, under standard assumptions, we prove that the iterative sequence generated by the presented algorithm converges globally. Preliminary numerical results indicate that the algorithm is promising. (C) 2012 Elsevier Ltd. All rights reserved.
second-order cone programming filter technique sequence quadratic programming method trust region method global convergence