Global Convergence of a Non-monotone Trust-Region
Filter Algorithm for Nonlinear Programming
Nick Gould and Philippe L. Toint
Report 02/15
A non-monotone variant of the trust-region SQP-filter algorithm analyzed in
Fletcher, Gould, Leyffer, Toint and Waechter (2002) is defined, that directly
uses the dominated area of the filter as an acceptability criterion for trial
points. It is proved that, under reasonable assumptions and for all possible
choices of the starting point, the algorithm generates at least a subsequence
converging to a first-order critical point.