IJPAM: Volume 39, No. 1 (2007)

AN SQP ALGORITHM WITH EQUALITY CONSTRAINED
SUBPROBLEMS FOR GENERAL CONSTRAINED
OPTIMIZATION

Zhijun Luo$^1$, Zhibin Zhu$^2$, Lirong Wang$^3$, Ajuan Ren$^4$
$^{1,2,4}$School of Computing Science and Mathematics
Guilin University of Electronic Technology
Guilin, 541004, P.R. CHINA
$^1$e-mail: ldlzj123@163.com
$^3$School of Mathematical Sciences
Guangxi Normal University
Guilin, 541004, P.R. CHINA


Abstract.In this paper, an SQP method is presented to solve general constrained optimization. Firstly the original problem is expanded to parametric programming problems with only inequality constraints, and the expansive problem is equivalent to the original problem if the parameter is suitable. Then an algorithm is proposed which is only necessary to solve one QP subproblem with equality constraints. Thus, the computational cost is reduced. Under some suitable assumptions, the algorithm is proven to be globally and superlinearly convergent.

Received: April 18, 2007

AMS Subject Classification: 90C30, 65K05

Key Words and Phrases: general constrained optimization, SQP algorithm, equality constrained quadratic programming, global convergence, superlinear convergence rate

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2007
Volume: 39
Issue: 1