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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Vydáno v:SIAM journal on optimization Ročník 11; číslo 4; s. 1092 - 1118
Hlavní autoři: Lawrence, Craig T., Tits, André L.
Médium: Journal Article
Jazyk:angličtina
Vydáno: Philadelphia Society for Industrial and Applied Mathematics 01.01.2001
Témata:
Algorithms
Lagrange multiplier
Quadratic programming
ISSN:1052-6234, 1095-7189
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Shrnutí: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.
Bibliografie:ObjectType-Article-1
SourceType-Scholarly Journals-1
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ISSN:1052-6234
1095-7189
DOI:10.1137/S1052623498344562