Parameter optimization using the L∞ exact penalty function and strictly convex quadratic programming problems

This paper presents an algorithm for the numerical solution of constrained parameter optimization problems. The solution strategy is based on a sequential quadratic programming (SQP) technique that uses the L∞ exact penalty function. Unlike similar SQP algorithms the method proposed here solves only strictly convex quadratic programs to obtain the search directions. The global convergence properties of the algorithm are enhanced by the use of a nonmonotone line search and second-order corrections to avoid the Maratos effect. The paper also presents an ANSI C implementation of the algorithm. The effectiveness of the proposed method is demonstrated by solving numerous parameter optimization and optimal control problems that have appeared in the literature.