SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization

@article{Gill2002SNOPTAS,
  title={SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization},
  author={P. Gill and W. Murray and M. Saunders},
  journal={SIAM J. Optim.},
  year={2002},
  volume={12},
  pages={979-1006}
}
Sequential quadratic programming (SQP) methods have proved highly effective for solving constrained optimization problems with smooth nonlinear functions in the objective and constraints. Here we consider problems with general inequality constraints (linear and nonlinear). We assume that first derivatives are available and that the constraint gradients are sparse. We discuss an SQP algorithm that uses a smooth augmented Lagrangian merit function and makes explicit provision for infeasibility… Expand
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