Dakota Reference Manual  Version 6.4
Large-Scale Engineering Optimization and Uncertainty Analysis
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sequential_quadratic_programming

Description

Sequential Quadratic Programming (SQP) algorithms are a class of mathematical programming problems used to solve nonlinear optimization problems with nonlinera constraints. These methods are a generalization of Newton's method: each iteration involves minimizing a quadratic model of the problem. These subproblems are formulated as minimizing a quadratic approximation of the Lagrangian subject to linearized constraints. Only gradient information is required; Hessians are approximated by low-rank updates defined by the step taken at each iteration. It is important to note that while the solution found by an SQP method will respect the constraints, the intermediate iterates may not. SQP methods available in Dakota are dot_sqp, nlpql_sqp, nlssol_sqp, and npsol_sqp. The particular implementation in nlpql_sqp uses a variant with distributed and non-monotone line search. Thus, this variant is designed to be more robust in the presence of inaccurate or noisy gradients common in many engineering applications.

Related Topics

Related Keywords

  • nlpql_sqp : Sequential Quadratic Program
  • nlssol_sqp : Sequential Quadratic Program for nonlinear least squares
  • npsol_sqp : Sequential Quadratic Program