Concept

Sequential quadratic programming

Summary
Sequential quadratic programming (SQP) is an iterative method for constrained nonlinear optimization which may be considered a quasi-Newton method. SQP methods are used on mathematical problems for which the objective function and the constraints are twice continuously differentiable. SQP methods solve a sequence of optimization subproblems, each of which optimizes a quadratic model of the objective subject to a linearization of the constraints. If the problem is unconstrained, then the method reduces to Newton's method for finding a point where the gradient of the objective vanishes. If the problem has only equality constraints, then the method is equivalent to applying Newton's method to the first-order optimality conditions, or Karush–Kuhn–Tucker conditions, of the problem. Algorithm basics Consider a nonlinear programming problem of the form: :\begin{array}{rl} \min\limits_{x} & f(x) \ \mbox{subject to} & h(x) \ge 0 \ & g(x) = 0. \end{array} The Lagr
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