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New Sequential Quadratically-Constrained Quadratic Programming Method of Feasible Directions and Its Convergence Rate

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Abstract

This paper discusses optimization problems with nonlinear inequality constraints and presents a new sequential quadratically-constrained quadratic programming (NSQCQP) method of feasible directions for solving such problems. At each iteration. the NSQCQP method solves only one subproblem which consists of a convex quadratic objective function, convex quadratic equality constraints, as well as a perturbation variable and yields a feasible direction of descent (improved direction). The following results on the NSQCQP are obtained: the subproblem solved at each iteration is feasible and solvable: the NSQCQP is globally convergent under the Mangasarian-Fromovitz constraint qualification (MFCQ); the improved direction can avoid the Maratos effect without the assumption of strict complementarity; the NSQCQP is superlinearly and quasiquadratically convergent under some weak assumptions without thestrict complementarity assumption and the linear independence constraint qualification (LICQ).

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Authors and Affiliations

  1. College of Mathematics and Informatics Science, Guangxi University, Nanning, China

    J. B. Jian (Professor)

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  1. J. B. Jian
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Additional information

Communicated by N. G. Medhin

Research supported by the National Natural Science Foundation of China Project 10261001 and Guangxi Science Foundation Projects 0236001 and 0249003.

The author thanks two anonymous referees for valuable comments and suggestions on the original version of this paper.

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Jian, J.B. New Sequential Quadratically-Constrained Quadratic Programming Method of Feasible Directions and Its Convergence Rate. J Optim Theory Appl 129, 109–130 (2006). https://doi.org/10.1007/s10957-006-9042-7

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