Stabilized sequential quadratic programming

Authors
Citation
Ww. Hager, Stabilized sequential quadratic programming, COMPUT OP A, 12(1-3), 1999, pp. 253-273
Citations number
19
Categorie Soggetti
Engineering Mathematics
Journal title
COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
ISSN journal
09266003 → ACNP
Volume
12
Issue
1-3
Year of publication
1999
Pages
253 - 273
Database
ISI
SICI code
0926-6003(199901)12:1-3<253:SSQP>2.0.ZU;2-O
Abstract
Recently, Wright proposed a stabilized sequential quadratic programming alg orithm for inequality constrained optimization. Assuming the Mangasarian-Fr omovitz constraint qualification and the existence of a strictly positive m ultiplier (but possibly dependent constraint gradients), he proved a local quadratic convergence result. In this paper, we establish quadratic converg ence in cases where both strict complementarity and the Mangasarian-Fromovi tz constraint qualification do not hold. The constraints on the stabilizati on parameter are relaxed, and linear convergence is demonstrated when the p arameter is kept fixed. We show that the analysis of this method can be car ried out using recent results for the stability of variational problems.