SIAM Journal on Control and Optimization
A robust sequential quadratic programming method
Mathematical Programming: Series A and B
Exact penalty function algorithm with simple updating of the penalty parameter
Journal of Optimization Theory and Applications
A nonsmooth version of Newton's method
Mathematical Programming: Series A and B
Journal of Optimization Theory and Applications
Test Examples for Nonlinear Programming Codes
Test Examples for Nonlinear Programming Codes
Minimization of SC1 functions and the Maratos effect
Operations Research Letters
Computational Optimization and Applications
A trust region SQP-filter method for nonlinear second-order cone programming
Computers & Mathematics with Applications
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Based on a continuously differentiable exact penalty function and a regularization technique for dealing with the inconsistency of subproblems in the SQP method, we present a new SQP algorithm for nonlinear constrained optimization problems. The proposed algorithm incorporates automatic adjustment rules for the choice of the parameters and makes use of an approximate directional derivative of the merit function to avoid the need to evaluate second order derivatives of the problem functions. Under mild assumptions the algorithm is proved to be globally convergent, and in particular the superlinear convergence rate is established without assuming that the strict complementarity condition at the solution holds. Numerical results reported show that the proposed algorithm is promising.