Superlinear Convergence of a Stabilized SQP Method to a Degenerate Solution

Authors:
Stephen J. Wright
Affiliations:
Mathematics and Computer Science Division, Argonne National Laboratory, 9700 South Cass Avenue, Argonne, Illinois 60439, U.S.A.
Venue:
Computational Optimization and Applications
Year:
1998

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Abstract

We describe a slight modification of the well-known sequentialquadratic programming method for nonlinear programming thatattains superlinear convergence to a primal-dual solution even whenthe Jacobian of the active constraints is rank deficient at thesolution. We show that rapid convergence occurs even in the presenceof the roundoff errors that are introduced when the algorithm isimplemented in floating-point arithmetic.