An inexact sequential quadratic optimization algorithm for nonlinear optimization

Frank E. Curtis*, Travis C. Johnson, Daniel P. Robinson, Andreas Wächter

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

11 Scopus citations

Abstract

We propose a sequential quadratic optimization method for solving nonlinear optimization problems with equality and inequality constraints. The novel feature of the algorithm is that, during each iteration, the primal-dual search direction is allowed to be an inexact solution of a given quadratic optimization subproblem. We present a set of generic, loose conditions that the search direction (i.e., inexact subproblem solution) must satisfy so that global convergence of the algorithm for solving the nonlinear problem is guaranteed. The algorithm can be viewed as a globally convergent inexact Newton-based method. The results of numerical experiments are provided to illustrate the reliability of the proposed numerical method.

Original languageEnglish (US)
Pages (from-to)1041-1074
Number of pages34
JournalSIAM Journal on Optimization
Volume24
Issue number3
DOIs
StatePublished - 2014

Keywords

  • Constrained optimization
  • Global convergence
  • Inexact newton methods
  • Nonlinear optimization
  • Sequential quadratic optimization

ASJC Scopus subject areas

  • Software
  • Theoretical Computer Science

Fingerprint Dive into the research topics of 'An inexact sequential quadratic optimization algorithm for nonlinear optimization'. Together they form a unique fingerprint.

Cite this