Two-Phase-SQP Method with Higher-Order Convergence Property

We propose a two-phase-SQP (Sequential Quadratic Programming) algorithm for equality-constrained optimization problem. In this paper, an iteration process is developed, and at each iteration, two quadratic sub-problems are solved. It is proved that, under some suitable assumptions and without comput...

Full description

Saved in:
Bibliographic Details
Published in:Journal of the Operations Research Society of China (Internet) Vol. 4; no. 3; pp. 385 - 396
Main Authors: Chakraborty, Suvra Kanti, Panda, Geetanjali
Format: Journal Article
Language:English
Published: Beijing Operations Research Society of China 01.09.2016
Springer Nature B.V
Subjects:
Algorithms
Convergence
Iterative methods
Lagrange multiplier
Management Science
Mathematics
Mathematics and Statistics
Methods
Operations Research
Optimization
Quadratic programming
Cubic-order convergence
90C30
90C55
Constrained optimization
Newton-SQP method
ISSN:2194-668X, 2194-6698
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:We propose a two-phase-SQP (Sequential Quadratic Programming) algorithm for equality-constrained optimization problem. In this paper, an iteration process is developed, and at each iteration, two quadratic sub-problems are solved. It is proved that, under some suitable assumptions and without computing further higher-order derivatives, this iteration process achieves higher-order local convergence property in comparison to Newton-SQP scheme. Theoretical advantage and a note on l 1 merit function associated to the method are provided.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:2194-668X
2194-6698
DOI:10.1007/s40305-016-0122-6