Global convergence on an active set SQP for inequality constrained optimization

Authors:
Xin-Wei Liu
Affiliations:
Department of Applied Mathematics, Mathematics, Hebei University of Technology, Tianjin, China and Singapore-MIT Alliance, National University of Singapore, E4-04-10, 4 Engineering Drive 3, Singap ...
Venue:
Journal of Computational and Applied Mathematics
Year:
2005

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Abstract

Sequential quadratic programming (SQP) has been one of the most important methods for solving nonlinearly constrained optimization problems. In this paper, we present and study an active set SQP algorithm for inequality constrained optimization. The active set technique is introduced which results in the size reduction of quadratic programming (QP) subproblems. The algorithm is proved to be globally convergent. Thus, the results show that the global convergence of SQP is still guaranteed by deleting some ''redundant'' constraints.