A robust implementation of a sequential quadratic programming algorithm with successive error restoration

作者：Schittkowski K^*

来源：Optimization Letters, 2011, 5(2): 283-296.

DOI：10.1007/s11590-010-0207-9

• SQP
• Sequential quadratic programming
• Nonlinear programming
• Line search
• Restart
• Numerical algorithm
• Noisy functions

We consider sequential quadratic programming methods for solving constrained nonlinear programming problems. It is generally believed that these methods are sensitive to the accuracy by which partial derivatives are provided. One reason is that differences of gradients of the Lagrangian function are used for updating a quasi-Newton matrix, e.g., by the BFGS formula. The purpose of this paper is to show by numerical experimentation that the method can be stabilized substantially. The algorithm applies non-monotone line search and internal and external restarts in case of errors due to inaccurate derivatives while computing the search direction. Even in case of large random errors leading to partial derivatives with at most one correct digit, termination subject to an accuracy of 10(-7) can be achieved in 90% of 306 problems of a standard test suite. On the other hand, the original version with monotone line search and without restarts solves only 30% of these problems under the same test environment. In addition, we show how initial and periodic scaled restarts improve the efficiency in situations with slow convergence.

• 出版日期2011-5