[BANANA] LA/Opt seminar TODAY (Elizabeth Wong)

[Michael A. Saunders]

REMINDER, seminar this afternoon.
No seminar next week.


    Linear Algebra and Optimization Seminar (CME 510)
    iCME, Stanford University
    http://icme.stanford.edu/seminars/seminars.php

    4:15pm Wed Oct 7, 2009
    Terman 332
    http://campus-map.stanford.edu/index.cfm?ID=01-240

    Elizabeth Wong
    Dept of Mathematics
    UC San Diego, La Jolla, CA
    http://ccom.ucsd.edu/~elwong/

A regularized method for general quadratic programming

We consider a quadratic programming method designed for use in a
sequential quadratic programming (SQP) method for large-scale
nonlinearly constrained optimization.

Because the efficiency of SQP methods is determined by how the
quadratic subproblem is formulated and solved, we propose an
active-set method based on inertia control that prevents
singularity in the associated KKT systems.  The method is able to
utilize black-box linear algebra software, thereby exploiting
recent advances in computer hardware.  Moreover, the method makes
no assumptions on the convexity of the quadratic problems, making
it particularly useful in SQP methods using exact second
derivatives.

In addition, the method can be applied to a regularized quadratic
subproblem involving an augmented Lagrangian objective function,
eliminating the need for a full-rank assumption on the constraint
matrix.