A globally convergent sSQP method

DAMIÁN FERNÁNDEZ; ELVIO A. PILOTTA; GERMÁN A. TORRES

Rio de Janeiro-RJ

Congreso; 28º Colóquio Brasileiro de Matemática; 2011

CNPq / IMPA, SBM

It is know that the stabilized Sequential Quadratic Programming (sSQP) method has a good local behavior, but there are no globally convergent results for this method. In this work we develop a hybrid method that combines Inexact Restoration (IR) and Augmented Lagrangian (AL) methods. In one hand, feasibility of a suitable stabilized subproblem allows us to avoid the restoration phase in the IR method. Therefore, subproblems can be solved efficiently by IR. In the other hand, since the sSQP method is equivalent to a perturbed augmented Lagrangian method, we obtain the same global convergence properties of the augmented Lagrangian method.