A Computationally Efficient Feasible Sequential Quadratic Programming Algorithm

A Computationally Efficient Feasible Sequential Quadratic Programming Algorithm

A sequential quadratic programming (SQP) algorithm generating feasible iterates is described and analyzed. What distinguishes this algorithm from previous feasible SQP algorithms proposed by various authors is a reduction in the amount of computation required to generate a new iterate while the prop...

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Veröffentlicht in:SIAM journal on optimization 2001-01, Vol.11 (4), p.1092-1118
Hauptverfasser: Lawrence, Craig T., Tits, André L.
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Lagrange multiplier
Quadratic programming
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Zusammenfassung:A sequential quadratic programming (SQP) algorithm generating feasible iterates is described and analyzed. What distinguishes this algorithm from previous feasible SQP algorithms proposed by various authors is a reduction in the amount of computation required to generate a new iterate while the proposed scheme still enjoys the same global and fast local convergence properties. A preliminary implementation has been tested and some promising numerical results are reported.
ISSN:1052-6234
1095-7189
DOI:10.1137/S1052623498344562