An improved SQP algorithm for inequality constrained optimization

Zhibin Zhu, Kecun Zhang and Jinbao Jian

Mathematical Methods of Operations Research, 2003, vol. 58, issue 2, 282 pages

Abstract: In this paper, the feasible type SQP method is improved. A new algorithm is proposed to solve nonlinear inequality constrained problem, in which a new modified method is presented to decrease the computational complexity. It is required to solve only one QP subproblem with only a subset of the constraints estimated as active per single iteration. Moreover, a direction is generated to avoid the Maratos effect by solving a system of linear equations. The theoretical analysis shows that the algorithm has global and superlinear convergence under some suitable conditions. In the end, numerical experiments are given to show that the method in this paper is effective. Copyright Springer-Verlag 2003

Keywords: Inequality constrained optimization; SQP method; Global convergence; Superlinear convergence (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:58:y:2003:i:2:p:271-282

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DOI: 10.1007/s001860300299

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