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| Globalization and infeasibility strategies of SQP method http://forum.alglib.net/viewtopic.php?f=2&t=4584 |
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| Author: | cvanaret [ Fri Nov 17, 2023 11:30 am ] |
| Post subject: | Globalization and infeasibility strategies of SQP method |
Dear ALGLIB team and community, I'm writing a paper on nonconvex optimization and I'm comparing several state-of-the-art solvers. I couldn't figure out how the ALGLIB SQP method is implemented, specifically: - how it measures progress (filter or merit function). I think it then uses a line search to find an appropriate step length; - how it deals with infeasible QPs. Does it relax the RHS or revert to minimizing constraint violation? Hope you can help me out! Thanks a lot, Charlie Vanaret |
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| Author: | Sergey.Bochkanov [ Sun Nov 19, 2023 7:17 pm ] |
| Post subject: | Re: Globalization and infeasibility strategies of SQP method |
Hi! ALGLIB uses an L1-penalized merit function to measure progress. It is a trust region method, i.e. it does not use a line search. It uses SL1QP approach towards constraints and does not have separate feasibility enforcement stage. The merit function coefficient is dynamically chosen to ensure that there is a progress towards minimizing constraint violation. Sergei. |
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| Author: | cvanaret [ Sun Nov 19, 2023 8:09 pm ] |
| Post subject: | Re: Globalization and infeasibility strategies of SQP method |
Hi Sergey, Perfect, thanks for your answer. I'll post a link to the preprint once our article is submitted :) Best, Charlie |
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| Author: | Sergey.Bochkanov [ Mon Nov 20, 2023 4:43 pm ] |
| Post subject: | Re: Globalization and infeasibility strategies of SQP method |
Actually, it is planned to switch to filters at some moment later. They seem to be more promising. But still the filter version will inherit many features of the original SL1QP one. |
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