Primal superlinear convergence of SQP methods in piecewise linear-quadratic composite optimization
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Publication:2116019
DOI10.1007/S11228-021-00580-6zbMATH Open1487.90610arXiv2007.06187OpenAlexW3141977729MaRDI QIDQ2116019FDOQ2116019
Publication date: 15 March 2022
Published in: Set-Valued and Variational Analysis (Search for Journal in Brave)
Abstract: This paper mainly concerns with the primal superlinear convergence of the quasi-Newton sequential quadratic programming (SQP) method for piecewise linear-quadratic composite optimization problems. We show that the latter primal superlinear convergence can be justified under the noncriticality of Lagrange multipliers and a version of the Dennis-More condition. Furthermore, we show that if we replace the noncriticality condition with the second-order sufficient condition, this primal superlinear convergence is equivalent with an appropriate version of the Dennis-More condition. We also recover Bonnans' result in [1] for the primal-dual superlinear of the basic SQP method for this class of composite problems under the second-order sufficient condition and the uniqueness of Lagrange multipliers. To achieve these goals, we first obtain an extension of the reduction lemma for convex Piecewise linear-quadratic functions and then provide a comprehensive analysis of the noncriticality of Lagrange multipliers for composite problems. We also establish certain primal estimates for KKT systems of composite problems, which play a significant role in our local convergence analysis of the quasi-Newton SQP method.
Full work available at URL: https://arxiv.org/abs/2007.06187
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- Q-SUPERLINEAR CONVERGENCE OF PRIMAL-DUAL INTERIOR POINT QUASI-NEWTON METHODS FOR CONSTRAINED OPTIMIZATION
second-order sufficient conditionsSQP methodsnoncriticalitypiecewise linear-quadratic composite problemsprimal superlinear convergence
Methods of successive quadratic programming type (90C55) Sensitivity, stability, parametric optimization (90C31) Nonsmooth analysis (49J52) Set-valued and variational analysis (49J53) Numerical methods for mathematical programming, optimization and variational techniques (65K99)
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- On local convergence of sequential quadratically-constrained quadratic-programming type methods, with an extension to variational problems
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