### Abstract

Sequential Quadratic Programming (SQP) is a powerful class of algorithms for solving nonlinear optimization problems. Local convergence of SQP algorithms is guaranteed when the Hessian approximation used in each Quadratic Programming subproblem is close to the true Hessian. However, a good Hessian approximation can be expensive to compute. Low cost Hessian approximations only guarantee local convergence under some assumptions, which are not always satisfied in practice. To address this problem, this paper proposes a simple method to guarantee local convergence for SQP with poor Hessian approximation. The effectiveness of the proposed algorithm is demonstrated in a numerical example.

Language | English |
---|---|

Title of host publication | 2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017 |

Place of Publication | Piscataway |

Publisher | Institute of Electrical and Electronics Engineers |

Pages | 3781-3786 |

Number of pages | 6 |

ISBN (Electronic) | 978-1-5090-2873-3 |

ISBN (Print) | 978-1-5090-2874-0 |

DOIs | |

State | Published - 18 Jan 2018 |

Event | 56th IEEE Conference on Decision and Control (CDC 2017) - Melbourne, Australia Duration: 12 Dec 2017 → 15 Dec 2017 Conference number: 56 http://ieeexplore.ieee.org/xpl/mostRecentIssue.jsp?punumber=8253407 |

### Conference

Conference | 56th IEEE Conference on Decision and Control (CDC 2017) |
---|---|

Abbreviated title | CDC 2017 |

Country | Australia |

City | Melbourne |

Period | 12/12/17 → 15/12/17 |

Internet address |

### Fingerprint

### Cite this

*2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017*(pp. 3781-3786). Piscataway: Institute of Electrical and Electronics Engineers. DOI: 10.1109/CDC.2017.8264215

}

*2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017.*Institute of Electrical and Electronics Engineers, Piscataway, pp. 3781-3786, 56th IEEE Conference on Decision and Control (CDC 2017), Melbourne, Australia, 12/12/17. DOI: 10.1109/CDC.2017.8264215

**A method to guarantee local convergence for sequential quadratic programming with poor Hessian approximation.** / Nguyen, Tuan T.; Lazar, Mircea; Butler, Hans.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

TY - GEN

T1 - A method to guarantee local convergence for sequential quadratic programming with poor Hessian approximation

AU - Nguyen,Tuan T.

AU - Lazar,Mircea

AU - Butler,Hans

PY - 2018/1/18

Y1 - 2018/1/18

N2 - Sequential Quadratic Programming (SQP) is a powerful class of algorithms for solving nonlinear optimization problems. Local convergence of SQP algorithms is guaranteed when the Hessian approximation used in each Quadratic Programming subproblem is close to the true Hessian. However, a good Hessian approximation can be expensive to compute. Low cost Hessian approximations only guarantee local convergence under some assumptions, which are not always satisfied in practice. To address this problem, this paper proposes a simple method to guarantee local convergence for SQP with poor Hessian approximation. The effectiveness of the proposed algorithm is demonstrated in a numerical example.

AB - Sequential Quadratic Programming (SQP) is a powerful class of algorithms for solving nonlinear optimization problems. Local convergence of SQP algorithms is guaranteed when the Hessian approximation used in each Quadratic Programming subproblem is close to the true Hessian. However, a good Hessian approximation can be expensive to compute. Low cost Hessian approximations only guarantee local convergence under some assumptions, which are not always satisfied in practice. To address this problem, this paper proposes a simple method to guarantee local convergence for SQP with poor Hessian approximation. The effectiveness of the proposed algorithm is demonstrated in a numerical example.

UR - http://www.scopus.com/inward/record.url?scp=85046247202&partnerID=8YFLogxK

U2 - 10.1109/CDC.2017.8264215

DO - 10.1109/CDC.2017.8264215

M3 - Conference contribution

SN - 978-1-5090-2874-0

SP - 3781

EP - 3786

BT - 2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017

PB - Institute of Electrical and Electronics Engineers

CY - Piscataway

ER -