We propose a new nonmonotone filter method to promote global and fast
local convergence for sequential quadratic programming algorithms. Our method
uses two filters: a standard, global g-filter for global convergence, and a local nonmonotone
l-filter that allows us to establish fast local convergence. We show how
to switch between the two filters efficiently, and we prove global and superlinear local
convergence. A special feature of the proposed method is that it does not require
second-order correction steps. We present preliminary numerical results comparing
our implementation with a classical filter SQP method.