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Constrained Optimization: Globalization of Convergence

  • Alexey F. Izmailov
  • Mikhail V. Solodov
Chapter
Part of the Springer Series in Operations Research and Financial Engineering book series (ORFE)

Abstract

In this chapter we discuss approaches to globalizing the fundamental sequential quadratic programming (SQP) algorithm. This can be done in a number of ways. First, candidate points can be produced either using linesearch in the computed SQP direction or solving SQP subproblems with an additional trust-region constraint. Second, the generated candidate points can be evaluated either by computing the value of a suitable merit function or by a filter dominance criterion. The so-called elastic mode modification is also considered, in the context of the sequential quadratically constrained quadratic programming method.

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Copyright information

© Springer International Publishing Switzerland 2014

Authors and Affiliations

  • Alexey F. Izmailov
    • 1
  • Mikhail V. Solodov
    • 2
  1. 1.Moscow State UniversityMoscowRussia
  2. 2.Instituto de Matemática Pura e AplicadaRio de JaneiroBrazil

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