A Truncated SQP Method Based on Inexact Interior-Point Solutions of Subproblems
SIAM Journal on Optimization
Global and local convergence of a penalty-free method for nonlinear programming
Computers & Mathematics with Applications
Journal of Computational and Applied Mathematics
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Usual global convergence results for sequential quadratic programming (SQP) algorithms with linesearch rely on some a priori assumptions about the generated sequences, such as boundedness of the primal sequence and/or of the dual sequence and/or of the sequence of values of a penalty function used in the linesearch procedure. Different convergence statements use different combinations of assumptions, but they all assume boundedness of at least one of the sequences mentioned above. In the given context boundedness assumptions are particularly undesirable, because even for non-pathological and well-behaved problems the associated penalty functions (whose descent is used to produce primal iterates) may not be bounded below for any value of the penalty parameter. Consequently, boundedness assumptions on the iterates are not easily justifiable. By introducing a very simple and computationally cheap safeguard in the linesearch procedure, we prove boundedness of the primal sequence in the case when the feasible set is nonempty, convex, and bounded. If, in addition, the Slater condition holds, we obtain a complete global convergence result without any a priori assumptions on the iterative sequences. The safeguard consists of not accepting a further increase of constraints violation at iterates which are infeasible beyond a chosen threshold, which can always be ensured by the proposed modified SQP linesearch criterion.