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A second derivative SQP method: Local convergence

Abstract:

In NA 08/18, 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 ...

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Authors


Nicholas I.M. Gould More by this author
Daniel P. Robinson More by this author
Publisher:
Oxford University Computing Laboratory
Publication date:
2008-12-01
URN:
uuid:23506bf0-b3ec-4548-86b4-f25fbeb5d3e7
Local pid:
cs:2858

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