A feasible trust-region sequential quadratic programming algorithm

SIAM Journal on Optimization

Volumn 14, Issue 4, 2004, Pages 1074-1105

  Wright, Stephen J ^a   Tenny, Matthew J ^b  

^a University of Wisconsin   (United States)

^b Wisconsin Electric Machines and Power Electronics Consortium   (United States)

Author keywords

Feasible algorithm; Nonlinear constrained optimization; Sequential quadratic programming; Trust region algorithms

Indexed keywords

FEASIBLE ALGORITHMS; NONLINEAR CONSTRAINED OPTIMIZATION; SEQUENTIAL QUADRATIC PROGRAMMING; TRUST-REGION ALGORITHMS;

APPROXIMATION THEORY; FUNCTIONS; ITERATIVE METHODS; OPTIMIZATION; PARAMETER ESTIMATION; PERTURBATION TECHNIQUES; PROBLEM SOLVING; QUADRATIC PROGRAMMING; SET THEORY;

ALGORITHMS;

EID: 9944232746     PISSN: 10526234     EISSN: None     Source Type: Journal    
DOI: 10.1137/S1052623402413227     Document Type: Article

References (17)

1. D. P. BERTSEKAS, Projected Newton methods for optimization problems with simple constraints, SIAM J. Control Optim., 20 (1982), pp. 221-246.
2. J. R. BIRGE, L. QI, AND Z. WEI, A varaint of the Topkis-Veinott method for solving inequality constrained optimization problems, J. Appl. Math. Optim., 41 (2000), pp. 309-330.
3. M. R. CELIS, J. E. DENNIS, AND R. A. TAPIA, A trust region strategy for nonlinear equality constrained optimization, in Numerical Optimization, 1984: Proceeding of the SIAM Conference on Numerical Optimization (Boulder, CO, June 12-14, 1984), P. T. Boggs, R. H. Byrd, and R. B. Schnabel, eds., SIAM, Philadelphia, 1985, pp. 71-82.
4. F. H. CLARKE, Optimization and Nonsmooth Analysis, John Wiley, New York, 1983.
5. A. R. CONN, N. I. M. GOULD, AND PH. L. TOINT, Trust-Region Methods, MPS-SIAM Series on Optimization 1, SIAM, Philadelphia, 2000.
6. F. FACCHINEI, A. FISCHER, AND C. KANZOW, On the accurate identification of active constraints, SIAM J. Optim., 9 (1998), pp. 14-32.
7. R. FLETCHER AND E. SAINZ DE LA MAZA, Nonlinear programming and nonsmooth optimization by successive linear programming, Math. Programming, 43 (1989), pp. 235-256.
8. M. HEINKENSCHLOSS, Projected sequential quadratic programming methods, SIAM J. Optim., 6 (1996), pp. 373-417.
9. A. J. HOFFMAN, On approximate solutions of systems of linear inequalities, J. Res. Nat. Bur. Standards, 49 (1952), pp. 263-265.
10. C. T. LAWRENCE AND A. L. TITS, A computationally efficient feasible sequential quadratic programming algorithm, SIAM J. Optim., 11 (2001), pp. 1092-1118.
11. S. LUCIDI, M. SCIANDRONE, AND P. TSENG, Objective-derivative-free methods for constrained optimization, Math. Program. Ser. A, 92 (2002), pp. 37-59.
12. E. O. OMOJOKUN, Trust-Region Algorithms for Optimization with Nonlinear Equality and Inequality Constraints, Ph.D. thesis, University of Colorado, Boulder, 1989.
13. E. R. PANIER AND A. L. TITS, On combining feasibility, descent and superlinear convergence in inequality constrained optimization, Math. Programming Ser. A, 59 (1993), pp. 261-276.
14. S. M. ROBINSON, Stability theory for systems of inequalities, Part II: Differentiate nonlinear systems, SIAM J. Numer. Anal., 13 (1976), pp. 497-513.
15. M. J. TENNY, S. J. WRIGHT, AND J. B. RAWLINGS, Nonlinear model predictive control via feasibility-perturbed sequential quadratic programming, Comput. Optim. Appl., 28 (2004), pp. 87-121.
16. S. J. WRIGHT, Convergence, of an inexact algorithm for composite nonsmooth optimization, IMA J. Numer. Anal., 10 (1990), pp. 299-321.
17. Y. YUAN, On the superlinear convergence of a trust region algorithm for nonsmooth optimization, Math. Programming, 31 (1985), pp. 269-285.