Sequential Quadratic Programming Algorithm Implementation
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Resource Overview
Detailed Documentation
This MATLAB program implements the Sequential Quadratic Programming (SQP) algorithm, serving as a highly valuable optimization tool. The code contains extensive inline comments that clearly explain the algorithm's workflow, including quadratic subproblem formulation, Hessian matrix approximation using BFGS updates, and Lagrange multiplier calculations. The program demonstrates high flexibility through configurable parameters such as convergence tolerance settings, maximum iteration limits, and step size control mechanisms. Key functions include objective function evaluation, constraint handling through active set methods, and line search implementation for step acceptance. This robust implementation can be widely applied across various domains including engineering optimization, financial modeling, and machine learning parameter tuning, providing researchers and practitioners with an efficient framework for solving nonlinear constrained optimization problems.
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