Sequential Quadratic Programming Methods

K. Schittkowski, Ya-xiang Yuan, Wiley Encyclopedia of Operations Research and Management Science (2011)
Abstract: We present a brief review on the most powerful algorithm ever invented for solving smooth constrained nonlinear optimization problems, the so-called sequential quadratic programming (SQP) method. Starting during the late 70's, global and local convergence theorems were proved and efficient codes released. Today, SQP methods are the standard tool in academia and industry to solve highly complex application problems.

To download a preprint, click here: SQP_review.pdf

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