Monotone and nonmonotone implementations of an interior-point SQP filter line search algorithm

Abstract

We present a sequential quadratic programming (SQP) filter line search method which relies on an interior-point paradigm for solving the QP subproblems. Besides the usual step size acceptability criteria, a nonmonotone line search approach is also implemented. A comprehensive description of the algorithm, which also includes a feasibility restoration phase, is provided. Both monotone and nonmonotone algorithms have been implemented in Fortran 90, and the numerical results confirm that relaxing the acceptability criteria is effective.