Advanced Modeling and Optimization

Abstract for Paper 1 of Volume 1, Number 3, 1999, pp. 1-11


Numerical Experiments with Methods for Solving the KKT Equations


M. de F. G. Hernandez and M.C. Bartholomew­Biggs
Numerical Optimisation Centre,
University of Hertfordshire

Abstract

In many seqential quadratic programming algorithms for constrained optimization the calculation of an effective search direction depends on the (estimated) Hessian of the Lagrangian being positive definite on the null space of the active constraints. This paper reports some numerical experience with two techniques for checking the properties of the Hessian and, if necessary, modifying it during the solution of the KKT equations.