New sequential quadratic programming algorithm with consistent subproblems |
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Authors: | Guoping He Ziyou Gao Yanlian Lai |
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Institution: | (1) Shandong Institute of Mining and Technique, 271019 Tai’an, China;(2) Northern Jiaotong University, 100044 Beijing, China;(3) Institute of Applied Mathematics, Chinese Academy of sciences, 100080 Beijing, China |
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Abstract: | One of the most interesting topics related to sequential quadratic programming algorithms is how to guarantee the consistence
of all quadratic programming subproblems. In this decade, much work trying to change the form of constraints to obtain the
consistence of the subproblems has been done. The method proposed by De O. Pantoja J.F. A. and coworkers solves the consistent
problem of SQP method, and is the best to the authors’ knowledge. However, the scale and complexity of the subproblems in
De O. Pantoja’s work will be increased greatly since all equality constraints have to be changed into absolute form. A new
sequential quadratic programming type algorithm is presented by means of a special ε-active set scheme and a special penalty
function. Subproblems of the new algorithm are all consistent, and the form of constraints of the subproblems is as simple
as one of the general SQP type algorithms. It can be proved that the new method keeps global convergence and Local superlinear
convergence.
Project partly supported by the National Natural Science Foundation of China. |
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Keywords: | SQP algorithm consistence of quadratic programming subproblem global convergence local superlinear convergence |
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