A successful implementation of the Pantoja-Mayne SQP method
作者:
J. Heinz,
P. Spellucci,
期刊:
Optimization Methods and Software
(Taylor Available online 1994)
卷期:
Volume 4,
issue 1
页码: 1-28
ISSN:1055-6788
年代: 1994
DOI:10.1080/10556789408805575
出版商: Gordon and Breach Science Publishers
关键词: SQP method;exact penalty function;infinity norm
数据来源: Taylor
摘要:
In this paper an implementation of Pantoja's and Mayne's [8] SQP method using the exactl∞-penalty function is described. Some features have been added to the original algorithm in order to increase reliability and efficiency, e.g. a dynamic scaling of problem-functions, a more sophisticated rule for updating the penalty parameter and a device for forcing boundedness of the iteration sequence. Compared with a naive implementation of the original paper's suggestions, efficiency and reliability of the algorithm have been greatly improved. Performance on a large set of testproblems is reported. Results show that the method is a competitive tool for solving general nonlinear programming problems. Because of the structure of its QP-subproblems, the method has considerable potential for large scale problems.
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