Abstract
Recently, Wright proposed a stabilized sequential quadratic programming algorithm for inequality constrained optimization. Assuming the Mangasarian-Fromovitz constraint qualification and the existence of a strictly positive multiplier (but possibly dependent constraint gradients), he proved a local quadratic convergence result. In this paper, we establish quadratic convergence in cases where both strict complementarity and the Mangasarian-Fromovitz constraint qualification do not hold. The constraints on the stabilization parameter are relaxed, and linear convergence is demonstrated when the parameter is kept fixed. We show that the analysis of this method can be carried out using recent results for the stability of variational problems.
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Hager, W.W. Stabilized Sequential Quadratic Programming. Computational Optimization and Applications 12, 253–273 (1999). https://doi.org/10.1023/A:1008640419184
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DOI: https://doi.org/10.1023/A:1008640419184