An inexact SQP method for equality constrained optimization

Richard H. Byrd, Frank E. Curtis, Jorge Nocedal

Research output: Contribution to journalArticle

47 Scopus citations

Abstract

We present an algorithm for large-scale equality constrained optimization. The method is based on a characterization of inexact sequential quadratic programming (SQP) steps that can ensure global convergence. Inexact SQP methods are needed for large-scale applications for which the iteration matrix cannot be explicitly formed or factored and the arising linear systems must be solved using iterative linear algebra techniques. We address how to determine when a given inexact step makes sufficient progress toward a solution of the nonlinear program, as measured by an exact penalty function. The method is globalized by a line search. An analysis of the global convergence properties of the algorithm and numerical results are presented.

Original languageEnglish (US)
Pages (from-to)351-369
Number of pages19
JournalSIAM Journal on Optimization
Volume19
Issue number1
DOIs
StatePublished - Dec 1 2008

Keywords

  • Constrained optimization
  • Inexact linear system solvers
  • Krylov subspace methods
  • Large-scale optimization
  • Sequential quadratic programming

ASJC Scopus subject areas

  • Software
  • Theoretical Computer Science

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