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Stabilized SQP revisited

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Abstract

The stabilized version of the sequential quadratic programming algorithm (sSQP) had been developed in order to achieve superlinear convergence in situations when the Lagrange multipliers associated to a solution are not unique. Within the framework of Fischer (Math Program 94:91–124, 2002), the key to local superlinear convergence of sSQP are the following two properties: upper Lipschitzian behavior of solutions of the Karush-Kuhn-Tucker (KKT) system under canonical perturbations and local solvability of sSQP subproblems with the associated primal-dual step being of the order of the distance from the current iterate to the solution set of the unperturbed KKT system. According to Fernández and Solodov (Math Program 125:47–73, 2010), both of these properties are ensured by the second-order sufficient optimality condition (SOSC) without any constraint qualification assumptions. In this paper, we state precise relationships between the upper Lipschitzian property of solutions of KKT systems, error bounds for KKT systems, the notion of critical Lagrange multipliers (a subclass of multipliers that violate SOSC in a very special way), the second-order necessary condition for optimality, and solvability of sSQP subproblems. Moreover, for the problem with equality constraints only, we prove superlinear convergence of sSQP under the assumption that the dual starting point is close to a noncritical multiplier. Since noncritical multipliers include all those satisfying SOSC but are not limited to them, we believe this gives the first superlinear convergence result for any Newtonian method for constrained optimization under assumptions that do not include any constraint qualifications and are weaker than SOSC. In the general case when inequality constraints are present, we show that such a relaxation of assumptions is not possible. We also consider applying sSQP to the problem where inequality constraints are reformulated into equalities using slack variables, and discuss the assumptions needed for convergence in this approach. We conclude with consequences for local regularization methods proposed in (Izmailov and Solodov SIAM J Optim 16:210–228, 2004; Wright SIAM J. Optim. 15:673–676, 2005). In particular, we show that these methods are still locally superlinearly convergent under the noncritical multiplier assumption, weaker than SOSC employed originally.

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Authors and Affiliations

  1. Department of Operations Research, Faculty of Computational Mathematics and Cybernetics, Moscow State University, Leninskiye Gory, GSP-2, 119992, Moscow, Russia

    A. F. Izmailov

  2. IMPA, Instituto de Matemática Pura e Aplicada, Estrada Dona Castorina 110, Jardim Botânico, Rio de Janeiro, RJ, 22460-320, Brazil

    M. V. Solodov

Authors
  1. A. F. Izmailov
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  2. M. V. Solodov
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Correspondence to M. V. Solodov.

Additional information

Research of the first author is supported by the Russian Foundation for Basic Research Grant 10-01-00251, and by RF President’s Grant NS-693.2008.1 for the support of leading scientific schools. The second author is supported in part by CNPq Grants 300513/2008-9 and 471267/2007-4, by PRONEX–Optimization, and by FAPERJ.

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Izmailov, A.F., Solodov, M.V. Stabilized SQP revisited. Math. Program. 133, 93–120 (2012). https://doi.org/10.1007/s10107-010-0413-3

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  • DOI: https://doi.org/10.1007/s10107-010-0413-3

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