On the convergence of successive linear-quadratic programming algorithms

The global convergence properties of a class of penalty methods for nonlinear programming are analyzed. These methods include successive linear programming approaches and, more speciffically, the successive linear-quadratic programming approach presented by Byrd et al. [Math. Program., 100 (2004), pp. 27-48]. Every iteration requires the solution of two trust-region subproblems involving piecewise linear and quadratic models, respectively. It is shown that, for a fixed penalty parameter, the sequence of iterates approaches stationarity of the penalty function. A procedure for dynamically adjusting the penalty parameter is described, and global convergence results for it are established.