NEW SEQUENTIAL QUADRATIC-PROGRAMMING ALGORITHM WITH CONSISTENT SUBPROBLEMS

One of the most interesting topics related to sequential quadratic pro gramming algorithms is how to guarantee the consistence of all quadrat ic programming subproblems. In this decade, much work trying to change the form of constraints to obtain the consistence of the subproblems has been done. The method proposed by De O. Pantoja J.F.A. and coworke rs solves the consistent problem of SQP method, and is the best to the authors' knowledge. However, the scale and complexity of the subprobl ems in De O. Pantoja's work will be increased greatly since all equali ty constraints have to be changed into absolute form. A new sequential quadratic programming type algorithm is presented by means of a speci al epsilon-active set scheme and a special penalty function. Subproble ms of the new algorithm are all consistent, and the form of constraint s of the subproblems is as simple as one of the general SQP type algor ithms. It can be proved that the new method keeps global convergence a nd local superlinear convergence.