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A recursive quadratic programming algorithm that uses differentiable exact penalty functions

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Abstract

In this paper, a recursive quadratic programming algorithm for solving equality constrained optimization problems is proposed and studied. The line search functions used are approximations to Fletcher's differentiable exact penalty function. Global convergence and local superlinear convergence results are proved, and some numerical results are given.

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Authors and Affiliations

  1. Department of Applied Mathematics and Theoretical Physics, University of Cambridge, Silver Street, CB3 9EW, Cambridge, England

    M. J. D. Powell & Y. Yuan

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  1. M. J. D. Powell
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  2. Y. Yuan
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Powell, M.J.D., Yuan, Y. A recursive quadratic programming algorithm that uses differentiable exact penalty functions. Mathematical Programming 35, 265–278 (1986). https://doi.org/10.1007/BF01580880

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  • DOI: https://doi.org/10.1007/BF01580880

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