Article ID: | iaor20003059 |
Country: | Netherlands |
Volume: | 11 |
Issue: | 3 |
Start Page Number: | 253 |
End Page Number: | 276 |
Publication Date: | Dec 1998 |
Journal: | Computational Optimization and Applications |
Authors: | Wright Stephen J. |
Keywords: | programming: quadratic |
We describe a slight modification of the well-known sequential quadratic programming method for nonlinear programming that attains superlinear convergence to a primal–dual solution even when the Jacobian of the active constraints is rank deficient at the solution. We show that rapid convergence occurs even in the presence of the roundoff errors that are introduced when the algorithm is implemented in floating-point arithmetic.