an:01230634
Zbl 0917.90279
Wright, Stephen J.
Superlinear convergence of a stabilized SQP method to a degenerate solution
EN
Comput. Optim. Appl. 11, No. 3, 253-275 (1998).
00052427
1998
j
90C30
degenerate solutions; sequential quadratic programming; superlinear convergence
Summary: We describe a slight modification of the well-known sequential quadratic programming method for nonlinear programming that attains superlinear convergence to a primal-dual solution even the Jacobian of the active constraints is rank deficient at the solution. We show that rapid convergence occurs even in the presence of the roundoff errors that are introduced when the algorithm is implemented in floating-point arithmetic.