A cautious BFGS update for reduced Hessian SQP

DOI10.1007/S11075-007-9075-5MaRDI QIDQ885498zbMATH OpenOpenAlexFDO

Authors Taowen Liu, Dong-Hui Li

Publication date 14 June 2007

Published in Numerical Algorithms (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11075-007-9075-5

zbMATH Keywords

Broyden-Fletcher-Goldfarb-Shanno update criterioncautious update criterionequality constrained optimizationglobal convergencenumerical experimentsreduced Hessiansequential quadratic programming

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Large-scale problems in mathematical programming (90C06) Nonlinear programming (90C30) Methods of quasi-Newton type (90C53)

Review text

We introduce a cautious Broyden-Fletcher-Goldfarb-Shanno (BFGS) (CBFGS) update criterion in the reduced Hessian sequential quadratic programming (SQP) method. An attractive property of this update criterion is that the generated iterative matrices are always positive definite. Under mild conditions, we get the global convergence of the reduced Hessian SQP method. In particular, the second order sufficient condition is not necessary for the global convergence of the method. Furthermore, we show that if the second order sufficient condition holds at an accumulation point, then the reduced Hessian SQP method with CBFGS update reduces to the reduced Hessian SQP method with ordinary BFGS update. Consequently, the local behavior of the proposed method is the same as the reduced Hessian SQP method with BFGS update. The presented preliminary numerical experiments show the good performance of the method.

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Cited in

(2)

• Practical Update Criteria for Reduced Hessian SQP: Global Analysis
• A reduced Hessian SQP method for inequality constrained optimization

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