The Basic RFSQP Algorithm

SQP (Sequential Quadratic Programming) type algorithm modified so as to generate feasible iterates. The basic problem solved is (where the variable x is n-dimensional)

Two phase operation : Phase I - generate iterate satisfying all linear constraints and nonlinear inequality constraints. Phase II - minimize the maximum of the objectives, while maintaining satisfaction of linear constraints and nonlinear inequality constraints, nonlinear equality constraints being satisfied asymptotically.

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Last modified: February 21, 2005