A Sequential Quadratically Constrained Quadratic Programming Method of Feasible Directions

A Sequential Quadratically Constrained Quadratic Programming Method of Feasible Directions In this paper, a sequential quadratically constrained quadratic programming method of feasible directions is proposed for the optimization problems with nonlinear inequality constraints. At each iteration of the proposed algorithm, a feasible direction of descent is obtained by solving only one subproblem which consist of a convex quadratic objective function and simple quadratic inequality constraints without the second derivatives of the functions of the discussed problems, and such a subproblem can be formulated as a second-order cone programming which can be solved by interior point methods. To overcome the Maratos effect, an efficient higher-order correction direction is obtained by only one explicit computation formula. The algorithm is proved to be globally convergent and superlinearly convergent under some mild conditions without the strict complementarity . Finally, some preliminary numerical results are reported. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

A Sequential Quadratically Constrained Quadratic Programming Method of Feasible Directions

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Copyright © 2007 by Springer Science+Business Media, LLC
Mathematics; Numerical and Computational Methods ; Mathematical Methods in Physics; Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
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