A Computationally Efficient Feasible Sequential Quadratic Programming Algorithm

Abstract

A Sequential Quadratic Programming (SQP) algorithm generatingfeasible iterates is described and analyzed.What distinguishes this algorithm from previous feasible SQP algorithms proposed by various authors is a drastic reduction in the amountof computation required to generate a new iteratewhile the proposed scheme still enjoys the same global and fast local convergence properties.A preliminary implementation has been tested and somepromising numerical results are reported.