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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Bibliographic Details
Published in:SIAM journal on optimization Vol. 11; no. 4; pp. 1092 - 1118
Main Authors: Lawrence, Craig T., Tits, André L.
Format: Journal Article
Language:English
Published: Philadelphia Society for Industrial and Applied Mathematics 01.01.2001
Subjects:
Algorithms
Lagrange multiplier
Quadratic programming
ISSN:1052-6234, 1095-7189
Online Access:Get full text
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Summary: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.
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ISSN:1052-6234
1095-7189
DOI:10.1137/S1052623498344562