Experiments with successive quadratic programming algorithms |
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| Authors: | Y Fan S Sarkar L Lasdon |
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| Institution: | (1) Department of General Business, College of Business Administration, University of Texas, Austin, Texas;(2) Present address: IMSL, Houston, Texas;(3) Execucom Systems Corporation, Austin, Texas;(4) School of Business Administration, University of Texas at Austin, Austin, Texas |
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| Abstract: | There are many variants of successive quadratic programming (SQP) algorithms. Important issues include: the choice of either line search or trust region strategies; the QP formulation to be used; and how the QP is to be solved. Here, we consider the QP's proposed by Fletcher and Powell and discuss a specialized reduced-gradient procedure for solving them. A computer implementation is described, and the various options are compared on some well-known test problems. Factors influencing robustness and speed are identified. |
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| Keywords: | Nonlinear programming SQP algorithms computational comparisons trust regions line searches |
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