Global convergence of an SQP method without boundedness assumptions on any of the iterative sequences (Q1016107)

From MaRDI portal
Revision as of 01:55, 5 March 2024 by Import240304020342 (talk | contribs) (Set profile property.)
scientific article
Language Label Description Also known as
English
Global convergence of an SQP method without boundedness assumptions on any of the iterative sequences
scientific article

    Statements

    Global convergence of an SQP method without boundedness assumptions on any of the iterative sequences (English)
    0 references
    0 references
    4 May 2009
    0 references
    Usual global convergence results for sequential quadratic programming (SQP) algorithms with linesearch rely on some a priori assumptions about the generated sequences, such as boundedness of the primal sequence and /or of the dual sequence and /or of the sequence of values of a penalty function used in the linesearch procedure. Different convergence statements use different combinations of assumptions, but they all assume boundedness of at least one of the sequences mentioned above. In the given context boundedness assumptions are particularly undesirable, because even for non- pathological and well-behaved problems the associated penalty functions ( whose descent is used to produce primal iterates) may not be bounded below for any value of the penalty parameter. Consequently, boundedness assumptions on the iterates are not easily justifiable. By introducing a very simple and computationally cheap safeguard in the linesearch procedure, the author proves boundedness of the primal sequence in the case when the feasible set is nonempty, convex, and bounded. If, in addition, the Slater condition holds, a complete global convergence result is obtained without any a priori assumptions on the iterative sequences. The safegard consists of not accepting a further increase of constraints violation at iterates which are infeasible beyond a chosen threshold, which can always be ensured by the proposed modified SQP linesearch criterion.
    0 references
    sequential quadratic programming
    0 references
    global convergence
    0 references
    nonsmooth penalty function
    0 references
    linesearch
    0 references
    Slater condition
    0 references

    Identifiers