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A Piecewise Line-Search Technique for Maintaining the Positive Definiteness of the Matrices in the SQP Method

Abstract : A technique for maintaining the positive definiteness of the matrices in the quasi-Newton version of the SQP algorithm is proposed. In our algorithm, approximations of the Hessian of the augmented Lagrangian are updated. The positive definiteness of these matrices in the space tangent to the constraint manifold is ensured by a piecewise line-search technique, while their positive definiteness in a decoupled complementary subspace is obtained by setting the augmentation parameter. The combination of these two ideas makes the new approach more robust in our experiment with respect to existing approaches
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https://hal.inria.fr/inria-00074070
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Submitted on : Wednesday, May 24, 2006 - 2:26:05 PM
Last modification on : Friday, February 4, 2022 - 3:09:41 AM
Long-term archiving on: : Sunday, April 4, 2010 - 10:11:23 PM

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  • HAL Id : inria-00074070, version 1

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Paul Armand, Jean Charles Gilbert. A Piecewise Line-Search Technique for Maintaining the Positive Definiteness of the Matrices in the SQP Method. [Research Report] RR-2615, INRIA. 1995. ⟨inria-00074070⟩

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