The Mathematical Institute, University of Oxford, Eprints Archive

A second derivative SQP method: local convergence

Gould, Nicholas I. M. and Robinson, Daniel P. (2008) A second derivative SQP method: local convergence. Technical Report. SIAM Journal on Optimization. (Submitted)

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Abstract

In [19], we gave global convergence results for a second-derivative SQP method for minimizing the exact ℓ1-merit function for a fixed value of the penalty parameter. To establish this result, we used the properties of the so-called Cauchy step, which was itself computed from the so-called predictor step. In addition, we allowed for the computation of a variety of (optional) SQP steps that were intended to improve the efficiency of the algorithm.

Although we established global convergence of the algorithm, we did not discuss certain aspects that are critical when developing software capable of solving general optimization problems. In particular, we must have strategies for updating the penalty parameter and better techniques for defining the positive-definite matrix Bk used in computing the predictor step. In this paper we address both of these issues. We consider two techniques for defining the positive-definite matrix Bk—a simple diagonal approximation and a more sophisticated limited-memory BFGS update. We also analyze a strategy for updating the penalty paramter based on approximately minimizing the ℓ1-penalty function over a sequence of increasing values of the penalty parameter.

Algorithms based on exact penalty functions have certain desirable properties. To be practical, however, these algorithms must be guaranteed to avoid the so-called Maratos effect. We show that a nonmonotone varient of our algorithm avoids this phenomenon and, therefore, results in asymptotically superlinear local convergence; this is verified by preliminary numerical results on the Hock and Shittkowski test set.

Item Type:Technical Report (Technical Report)
Subjects:O - Z > Operations research, mathematical programming
A - C > Calculus of variations and optimal control
H - N > Numerical analysis
Research Groups:Numerical Analysis Group
ID Code:869
Deposited By:Lotti Ekert
Deposited On:17 Dec 2009 08:08
Last Modified:17 Dec 2009 08:08

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