Global convergence of a general filter algorithm based on an efficiency condition of the step

Abstract

In this work we discuss global convergence of a general filter algorithm that depends neither on the definition of the forbidden region, which can be given by the original or slanting filter rule, nor on the way in which the step is computed. This algorithm basically consists of calculating a point not forbidden by the filter from the current point. Assuming that this step must be efficient, in the sense that near a feasible non-stationary point the decrease in the objective function is relatively large, we prove the global convergence of the algorithm. We also discuss that such a condition is satisfied if the step is computed by the SQP or Inexact Restoration methods. For SQP we present a general proof of this result that is valid for both the original and the slanting filter criterion. In order to compare the performance of the general filter algorithm according to the method used to calculate the step and the filter rule regarded, we present numerical experiments performed with problems from CUTEr collection.