Nonlinear Equality Constraints in Feasible Sequential Quadratic Programming
Lawrence, Craig T.
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A simple scheme is proposed for handling nonlinear equality constraints in the context of a previously introduced sequential quadratic programming (SQP) algorithm for inequality constrained problems, generating iterates satisfying all constraints. The key is an idea due to Mayne and Polak (Math. progr., vol. 11, pp 67- 80, 1976) by which nonlinear equality constraints are treated as ﳣﱠtype constraints to be satisfied by all iterates, thus precluding any positive value, and an exact penalty term is added to the objective function which penalizes negative values. Mayne and Polak obtain a suitable value of the penalty parameter by iterative adjustments based on a test involving estimates of the KKT multipliers. We argue that the SQP framework allows for a more effective estimation of these multipliers, and we provide convergence analysis of the resulting algorithms. Numerical results, obtained with the FSQP/CFSQP code, are reported.