On the Rate of Convergence of Sequential Quadratic Programming with Nondi erentiable Exact Penalty Function in the Presence of Constraint Degeneracy
نویسنده
چکیده
We analyze the convergence of the sequential quadratic programming (SQP) method for nonlinear programming for the case in which the Jacobian of the active constraints is rank deecient at the solution and/or strict complementarity does not hold for some or any feasible Lagrange multipliers. We use a nondiieren-tiable exact penalty function, and we prove that the sequence generated by the SQP is locally R-linearly convergent if the matrices of the quadratic program are uniformly positive deenite and bounded, provided that the Mangasarian-Fromowitz constraint qualiication and some second-order suuciency conditions hold.
منابع مشابه
On the rate of convergence of sequential quadratic programming with nondifferentiable exact penalty function in the presence of constraint degeneracy
We analyze the convergence of the sequential quadratic programming (SQP) method for nonlinear programming for the case in which the Jacobian of the active constraints is rank deecient at the solution and/or strict complementarity does not hold for some or any feasible Lagrange multipliers. We use a nondiieren-tiable exact penalty function, and we prove that the sequence generated by the SQP is ...
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