An Investigation of Pshenichnyi’s Recursive Quadratic Programming Method for Engineering Optimization

Abstract

This paper discusses Pshenichnyi’s recursive quadratic programming algorithm for use in engineering optimization problems. An evaluation of the original algorithm is offered and several modifications are presented. The modifications include; addition of a variable metric update of the Hessian, an improved active set criterion, direct inclusion of the variable bounds, a divergence control mechanism, and updating schemes for the algorithm parameters. Implementations of the original algorithm and the modified algorithm were tested against the Sandgren test set of 23 engineering optimization problems. The results indicate that the modified algorithm was able to solve 20 of the 23 test problems while the original algorithm solved only 11. The modified algorithm was more efficient than the original on all the test problems.