A Matrix-Free Algorithm for Equality Constrained Optimization Problems with Rank-Deficient Jacobians
SIAM Journal on Optimization
An Efficient Numerical Method for the Solution of the $L_2$ Optimal Mass Transfer Problem
SIAM Journal on Scientific Computing
A Truncated SQP Method Based on Inexact Interior-Point Solutions of Subproblems
SIAM Journal on Optimization
An Interior-Point Algorithm for Large-Scale Nonlinear Optimization with Inexact Step Computations
SIAM Journal on Scientific Computing
A line search filter algorithm with inexact step computations for equality constrained optimization
Applied Numerical Mathematics
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We present an algorithm for large-scale equality constrained optimization. The method is based on a characterization of inexact sequential quadratic programming (SQP) steps that can ensure global convergence. Inexact SQP methods are needed for large-scale applications for which the iteration matrix cannot be explicitly formed or factored and the arising linear systems must be solved using iterative linear algebra techniques. We address how to determine when a given inexact step makes sufficient progress toward a solution of the nonlinear program, as measured by an exact penalty function. The method is globalized by a line search. An analysis of the global convergence properties of the algorithm and numerical results are presented.