A working set SQCQP algorithm with simple nonmonotone penalty parameters
The authors consider the inequality constrained nonlinear programming problem \[ \min_{x\in\mathbb{R}^n}\,f(x)\quad\text{s.t. }g_j(x)\leq 0,\;j\in I=\{1,2,\dots,m\} \] and present a new sequential quadratically constrained quadratic programming (SQCQP) algorithm, in which a simple updating strategy of the penalty parameter is adopted. Some numerical results are given.
quadratically constrained quadratic programming
scientific article; zbMATH DE number 5991203
scientific article