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Feasible active-set QP solve with blocking constraints and a finite cap
Definition
Input a strictly convex quadratic program with , a feasible starting point , a working set of active inequality indices whose rows together with the equality rows are independent, and a finite iteration cap . Fix ties by least index. For each iteration :
- Solve the equality-constrained direction problem
Its KKT matrix is nonsingular by
The SQP KKT matrix is nonsingular under positive reduced curvature. If the
linear solve fails, return
numerical-failure. - If , inspect the inequality multipliers for .
If every , return
solution(z_k, multipliers, W_k). Otherwise delete the least-index with and continue at the same feasible point with the reduced working set. - If , for every with compute
using when there is no such index. If , return
degenerate-block. Otherwise set . If , add the least-index blocker attaining to ; if adding it makes the rows dependent, returndependent-blocker. If , the new point minimizes 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, , and a positive finite iteration cap.
The linearized quadratic subproblem in sequential quadratic programming fixes the constraint convention and quadratic objective.
The SQP KKT matrix is nonsingular under positive reduced curvature makes each stated working-face KKT system uniquely solvable.
The starting point is feasible, is symmetric positive definite, the initial working rows are independent, and is a positive integer.
Proof
The direction problem has Hessian 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 , feasibility of gives , and taking the minimum blocking fraction keeps every linear inequality feasible along for .
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 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
- Jorge Nocedal and Stephen J. Wright, Numerical Optimization, 2nd ed. (standard reference, not scraped)