Convergence of the BFGS-SQP Method for Degenerate Problems |
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Authors: | Taowen Liu |
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Institution: | Institute of Applied Mathematics , Hunan University , Changsha, People's Republic of China |
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Abstract: | In this paper, we propose a BFGS (Broyden–Fletcher–Goldfarb–Shanno)-SQP (sequential quadratic programming) method for nonlinear inequality constrained optimization. At each step, the method generates a direction by solving a quadratic programming subproblem. A good feature of this subproblem is that it is always consistent. Moreover, we propose a practical update formula for the quasi-Newton matrix. Under mild conditions, we prove the global and superlinear convergence of the method. We also present some numerical results. |
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Keywords: | BFGS-SQP method Global convergence Inequality constrained optimization Sequential quadratic programming |
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