Journal of applied mathematics & informatics

The Korean Society for Computational and Applied Mathematics (한국전산응용수학회)
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ON THE GLOBAL CONVERGENCE OF A MODIFIED SEQUENTIAL QUADRATIC PROGRAMMING ALGORITHM FOR NONLINEAR PROGRAMMING PROBLEMS WITH INEQUALITY CONSTRAINTS

  • Received : 2010.12.03
  • Accepted : 2011.03.22
  • Published : 2011.09.30
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Abstract

When a Sequential Quadratic Programming (SQP) method is used to solve the nonlinear programming problems, one of the main difficulties is that the Quadratic Programming (QP) subproblem may be incompatible. In this paper, an SQP algorithm is given by modifying the traditional QP subproblem and applying a class of $l_{\infty}$ penalty function whose penalty parameters can be adjusted automatically. The new QP subproblem is compatible. Under the extended Mangasarian-Fromovitz constraint qualification condition and the boundedness of the iterates, the algorithm is showed to be globally convergent to a KKT point of the non-linear programming problem.

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References

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