IDEAS home Printed from https://ideas.repec.org/a/spr/coopap/v59y2014i3p475-509.html
   My bibliography  Save this article

Sequential quadratic programming methods for parametric nonlinear optimization

Author

Listed:
  • Vyacheslav Kungurtsev
  • Moritz Diehl

Abstract

Sequential quadratic programming (SQP) methods are known to be efficient for solving a series of related nonlinear optimization problems because of desirable hot and warm start properties—a solution for one problem is a good estimate of the solution of the next. However, standard SQP solvers contain elements to enforce global convergence that can interfere with the potential to take advantage of these theoretical local properties in full. We present two new predictor–corrector procedures for solving a nonlinear program given a sufficiently accurate estimate of the solution of a similar problem. The procedures attempt to trace a homotopy path between solutions of the two problems, staying within the local domain of convergence for the series of problems generated. We provide theoretical convergence and tracking results, as well as some numerical results demonstrating the robustness and performance of the methods. Copyright Springer Science+Business Media New York 2014

Suggested Citation

  • Vyacheslav Kungurtsev & Moritz Diehl, 2014. "Sequential quadratic programming methods for parametric nonlinear optimization," Computational Optimization and Applications, Springer, vol. 59(3), pages 475-509, December.
    • Handle: RePEc:spr:coopap:v:59:y:2014:i:3:p:475-509
    DOI: 10.1007/s10589-014-9696-2
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s10589-014-9696-2
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s10589-014-9696-2?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:coopap:v:59:y:2014:i:3:p:475-509. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.