Mathematical Programming

, Volume 163, Issue 1–2, pp 369–410 | Cite as

A stabilized SQP method: superlinear convergence

  • Philip E. Gill
  • Vyacheslav Kungurtsev
  • Daniel P. Robinson
Full Length Paper Series A

Abstract

Stabilized sequential quadratic programming (sSQP) methods for nonlinear optimization generate a sequence of iterates with fast local convergence regardless of whether or not the active-constraint gradients are linearly dependent. This paper concerns the local convergence analysis of an sSQP method that uses a line search with a primal-dual augmented Lagrangian merit function to enforce global convergence. The method is provably well-defined and is based on solving a strictly convex quadratic programming subproblem at each iteration. It is shown that the method has superlinear local convergence under assumptions that are no stronger than those required by conventional stabilized SQP methods. The fast local convergence is obtained by allowing a small relaxation of the optimality conditions for the quadratic programming subproblem in the neighborhood of a solution. In the limit, the line search selects the unit step length, which implies that the method does not suffer from the Maratos effect. The analysis indicates that the method has the same strong first- and second-order global convergence properties that have been established for augmented Lagrangian methods, yet is able to transition seamlessly to sSQP with fast local convergence in the neighborhood of a solution. Numerical results on some degenerate problems are reported.

Keywords

Nonlinear programming Augmented Lagrangian Sequential quadratic programming SQP methods Stabilized SQP Primal-dual methods Second-order optimality 

Mathematics Subject Classification

49J20 49J15 49M37 49D37 65F05 65K05 90C30 

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Copyright information

© Springer-Verlag Berlin Heidelberg and Mathematical Optimization Society 2016

Authors and Affiliations

  1. 1.Department of MathematicsUniversity of California, San DiegoLa JollaUSA
  2. 2.Agent Technology Center, Department of Computer Science, Faculty of Electrical EngineeringCzech Technical University in PraguePragueCzech Republic
  3. 3.Department of Applied Mathematics and StatisticsJohns Hopkins UniversityBaltimoreUSA

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