On the rate of convergence of sequential quadratic programming with nondifferentiable exact penalty function in the presence of constraint degeneracy (Q1611011)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the rate of convergence of sequential quadratic programming with nondifferentiable exact penalty function in the presence of constraint degeneracy |
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On the rate of convergence of sequential quadratic programming with nondifferentiable exact penalty function in the presence of constraint degeneracy (English)
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6 May 2003
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The author analyzes 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. A nondifferentinble exact penalty function is used and it is proved 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.
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linear convergence
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nondifferentiable exact penalty
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degenerate nonlinear program
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sequential quadratic programming
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