Inexact sequential quadratic optimization with penalty parameter updates within the QP solver
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Abstract: This paper focuses on the design of sequential quadratic optimization (commonly known as SQP) methods for solving large-scale nonlinear optimization problems. The most computationally demanding aspect of such an approach is the computation of the search direction during each iteration, for which we consider the use of matrix-free methods. In particular, we develop a method that requires an inexact solve of a single QP subproblem to establish the convergence of the overall SQP method. It is known that SQP methods can be plagued by poor behavior of the global convergence mechanism. To confront this issue, we propose the use of an exact penalty function with a dynamic penalty parameter updating strategy to be employed within the subproblem solver in such a way that the resulting search direction predicts progress toward both feasibility and optimality. We present our parameter updating strategy and prove that, under reasonable assumptions, the strategy does not modify the penalty parameter unnecessarily. We also discuss a matrix-free subproblem solver in which our updating strategy can be incorporated. We close the paper with a discussion of the results of numerical experiments that illustrate the benefits of our proposed techniques.
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Cited in
(6)- Iterative reweighted linear least squares for exact penalty subproblems on product sets
- An inexact first-order method for constrained nonlinear optimization
- Sequential quadratic optimization for nonlinear optimization problems on Riemannian manifolds
- A partially feasible Jacobi-type distributed SQO method for two-block general linearly constrained smooth optimization
- An SQP-type proximal gradient method for composite optimization problems with equality constraints
- An exact penalty function optimization method and its application in stress constrained topology optimization and scenario based reliability design problems
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