
doi: 10.1137/0805038
Summary: We study the convergence of a sequential quadratic programming algorithm for the nonlinear programming problem. The Hessian of the quadratic program is the sum of an approximation of the Lagrangian and of a multiple of the identity that allows us to penalize the displacement. Assuming only that the direction is a stationary point of the current quadratic program we study the local convergence properties without strict complementarity. In particular, we use a very weak condition on the approximation of the Hessian to the Lagrangian. We obtain some global and superlinearly convergent algorithm under weak hypotheses. As a particular case we formulate an extension of Newton's method that is quadratically convergent to a point satisfying a strong sufficient second-order condition.
Newton's method, Numerical methods based on nonlinear programming, Numerical mathematical programming methods, Nonlinear programming, convergence of a sequential quadratic programming algorithm, quasi-Newton algorithms, trust region, exact penalization
Newton's method, Numerical methods based on nonlinear programming, Numerical mathematical programming methods, Nonlinear programming, convergence of a sequential quadratic programming algorithm, quasi-Newton algorithms, trust region, exact penalization
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