Global and local convergence of a nonmonotone SQP method for constrained nonlinear optimization

Chungen Shen (), Lei-Hong Zhang, Bo Wang and Wenqiong Shao

Computational Optimization and Applications, 2014, vol. 59, issue 3, 435-473

Abstract: In this paper, we propose a robust sequential quadratic programming (SQP) method for nonlinear programming without using any explicit penalty function and filter. The method embeds the modified QP subproblem proposed by Burke and Han (Math Program 43:277–303, 1989 ) for the search direction, which overcomes the common difficulty in the traditional SQP methods, namely the inconsistency of the quadratic programming subproblems. A non-monotonic technique is employed further in a framework in which the trial point is accepted whenever there is a sufficient relaxed reduction of the objective function or the constraint violation function. A forcing sequence possibly tending to zero is introduced to control the constraint violation dynamically, which is able to prevent the constraint violation from over-relaxing and plays a crucial role in global convergence and the local fast convergence as well. We prove that the method converges globally without the Mangasarian–Fromovitz constraint qualification (MFCQ). In particular, we show that any feasible limit point that satisfies the relaxed constant positive linear dependence constraint qualification is also a Karush–Kuhn–Tucker point. Under the strict MFCQ and the second order sufficient condition, furthermore, we establish the superlinear convergence. Preliminary numerical results show the efficiency of our method. Copyright Springer Science+Business Media New York 2014

Keywords: Sequential quadratic programming method; Non-monotonicity; Convergence analysis; RCPLD; Strict MFCQ; 90C30 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10589-014-9675-7

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