Optimization: principles and algorithms, by Michel Bierlaire
Functions
globalSqp.m File Reference

Algorithm 20.2: global SQP algorithm. More...

Go to the source code of this file.

Functions

function globalSqp (in problem, in x0, in lambda0, in eps, in maxiter)
 Applies the global SQP method to solve

\[\min_x f(x) \]

subject to

\[h(x)=0,\]

where $f:\mathbb{R}^n \to \mathbb{R}$ and $h:\mathbb{R}^n \to \mathbb{R}^m $. More...

 

Detailed Description

Algorithm 20.2: global SQP algorithm.

Implementation of algorithm 20.2 of [1]

Note
Tested with run2007.m
Author
Michel Bierlaire
Date
Fri Mar 27 15:54:09 2015

Definition in file globalSqp.m.

Function Documentation

function globalSqp ( in  problem,
in  x0,
in  lambda0,
in  eps,
in  maxiter 
)

Applies the global SQP method to solve

\[\min_x f(x) \]

subject to

\[h(x)=0,\]

where $f:\mathbb{R}^n \to \mathbb{R}$ and $h:\mathbb{R}^n \to \mathbb{R}^m $.

Parameters
problemthe name of the Octave function defining f(x), h(x) and their derivatives. The funtion has two arguments: x and index. If index=0, the objective function $f$ and its derivatives are evaluated. If index= $i$, the constraint $h_i$ and its derivtives are evaluated.
x0starting primal point (nx1)
lambda0starting dual point (mx1)
epsalgorithm stops if $\|\nabla L(x_k,\lambda_k\| \leq \varepsilon $ and $\|h(x_k)\|^2$.
maxitermaximum number of iterations (default: 100)
Returns
[solution,lambda]
x: primal solution
lambda: dual solution
Copyright 2015-2016 Michel Bierlaire