Alphabeta Math
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Feasible active-set QP solve with blocking constraints and a finite cap

Definition

Input a strictly convex quadratic program q(z)=12zTBz+cTz,Az=b,Giz+di≤0 (1≤i≤m), with B=BT≻0, a feasible starting point z0, a working set W0 of active inequality indices whose rows together with the equality rows are independent, and a finite iteration cap N≥1. Fix ties by least index. For each iteration k=0,…,N−1:

  1. Solve the equality-constrained direction problem min⁡u(Bzk+c)Tu+12uTBusubject toAu=0,Giu=0 (i∈Wk). Its KKT matrix is nonsingular by The SQP KKT matrix is nonsingular under positive reduced curvature. If the linear solve fails, return numerical-failure.
  2. If u=0, inspect the inequality multipliers μi for i∈Wk. If every μi≥0, return solution(z_k, multipliers, W_k). Otherwise delete the least-index j∈Wk with μj<0 and continue at the same feasible point with the reduced working set.
  3. If u≠0, for every i∉Wk with Giu>0 compute αi=−Gizk+diGiu,αk=min⁡(1,min⁡i∉Wk, Giu>0αi), using αk=1 when there is no such index. If αk=0, return degenerate-block. Otherwise set zk+1=zk+αku. If αk<1, add the least-index blocker attaining αk to Wk; if adding it makes the rows dependent, return dependent-blocker. If αk=1, the new point minimizes q on the current working-set face, even if an unselected inequality becomes active at the endpoint. Set all those unselected multipliers to zero, and return if the current inequality multipliers are nonnegative; otherwise delete the least-index negative-multiplier constraint before continuing.

If the cap is reached first, return iteration-budget-exhausted with the last feasible iterate and multipliers. Every returned non-solution status is inconclusive about optimality. The algorithm does not silently add a zero-length blocking step.

Facts & Assumptions

Given: A feasible starting point, independent initial working rows, B≻0, and a positive finite iteration cap.

[F1]

The linearized quadratic subproblem in sequential quadratic programming fixes the ≤0 constraint convention and quadratic objective.

[F2]

The SQP KKT matrix is nonsingular under positive reduced curvature makes each stated working-face KKT system uniquely solvable.

[A1]

The starting point is feasible, B is symmetric positive definite, the initial working rows are independent, and N is a positive integer.

Proof

1.1givenF1F2algebra

The direction problem has Hessian B≻0 on the null space of the working rows, and those rows are independent by the input condition and the dependent-blocker guard. Hence [F2] applies. If Giu>0, feasibility of zk gives αi≥0, and taking the minimum blocking fraction keeps every linear inequality feasible along zk+tu for 0≤t≤αk.

2.1givenA1step 1.1algebra∎

Deleting a row leaves the iterate feasible; adding an independent blocking row preserves independent working rows; a zero blocking step or failed solve exits explicitly. Since at most N direction solves are attempted, the procedure returns a listed solution status or a listed inconclusive status after finitely many iterations.

Depends on

Used by

Dependency tree · two levels

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Sources