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Superlinear Convergence of a Stabilized SQP Method to a Degenerate Solution (1998)

Wright, Stephen J.

Springer

Computational optimization and applications 11 (1998), S. 253-275

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ISSN: 1573-2894

Schlagwort(e): nonlinear programming ; sequential quadratic programming ; degenerate solutions

Quelle: Springer Online Journal Archives 1860-2000

Thema: Informatik

Notizen: Abstract We describe a slight modification of the well-known sequential quadratic programming method for nonlinear programming that attains superlinear convergence to a primal-dual solution even when the Jacobian of the active constraints is rank deficient at the solution. We show that rapid convergence occurs even in the presence of the roundoff errors that are introduced when the algorithm is implemented in floating-point arithmetic.

Materialart: Digitale Medien

URL: http://dx.doi.org/10.1023/A:1018665102534

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