A computationally efficient feasible sequential quadratic programming algorithm

Citation
Ct. Lawrence et Al. Tits, A computationally efficient feasible sequential quadratic programming algorithm, SIAM J OPTI, 11(4), 2001, pp. 1092-1118
Citations number
29
Categorie Soggetti
Mathematics
Journal title
SIAM JOURNAL ON OPTIMIZATION
ISSN journal
10526234 → ACNP
Volume
11
Issue
4
Year of publication
2001
Pages
1092 - 1118
Database
ISI
SICI code
1052-6234(20010424)11:4<1092:ACEFSQ>2.0.ZU;2-W
Abstract
A sequential quadratic programming (SQP) algorithm generating feasible iter ates is described and analyzed. What distinguishes this algorithm from prev ious feasible SQP algorithms proposed by various authors is a reduction in the amount of computation required to generate a new iterate while the prop osed scheme still enjoys the same global and fast local convergence propert ies. A preliminary implementation has been tested and some promising numeri cal results are reported.