On the rate of convergence of sequential quadratic programming with nondifferentiable exact penalty function in the presence of constraint degeneracy.

Journal Article · Mon Dec 31 23:00:00 EST 2001 · Math. Program., Series A

DOI:https://doi.org/10.1007/s101070100252· OSTI ID:942648

Anitescu, M

We analyze the convergence of a sequential quadratic programming (SQP) method for nonlinear programming for the case in which the Jacobian of the active constraints is rank deficient at the solution and/or strict complementarity does not hold for some or any feasible Lagrange multipliers. We use a nondifferentiable exact penalty function, and we prove that the sequence generated by an SQP using a line search is locally R-linearly convergent if the matrix of the quadratic program is positive definite and constant over iterations, provided that the Mangasarian-Fromovitz constraint qualification and some second-order sufficiency conditions hold.

• Research Organization: Argonne National Laboratory (ANL)
• DOE Contract Number: AC02-06CH11357
• OSTI ID: 942648
• Report Number(s): ANL/MCS-P760-0699
• Journal Information: Math. Program., Series A, Journal Name: Math. Program., Series A Journal Issue: 2002 Vol. 92; ISSN 0025-5610; ISSN MHPGA4
• Country of Publication: United States
• Language: ENGLISH

Related Subjects

97 MATHEMATICS AND COMPUTING
99 GENERAL AND MISCELLANEOUS
ALGORITHMS
CONVERGENCE
FUNCTIONS
NONLINEAR PROGRAMMING
PROGRAMMING