Superlinear convergence of a stabilized SQP method to a degenerate solution

被引:113
作者
Wright, SJ [1 ]
机构
[1] Argonne Natl Lab, Div Math & Comp Sci, Argonne, IL 60439 USA
关键词
nonlinear programming; sequential quadratic programming; degenerate solutions;
D O I
10.1023/A:1018665102534
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
We describe a slight modification of the well-known sequential quadratic programming method for nonlinear programming that attains superlinear convergence to a primal-dual solution even when the Jacobian of the active constraints is rank deficient at the solution. We show that rapid convergence occurs even in the presence of the roundoff errors that are introduced when the algorithm is implemented in floating-point arithmetic.
引用
收藏
页码:253 / 275
页数:23
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