On an Approximation of the Hessian of the Lagrangian
In the context of SQP methods or, more recently, of sequential semidefinite programming methods, it is common practice to construct a positive semidefinite approximation of the Hessian of the Lagrangian. The Hessian of the augmented Lagrangian is a suitable approximation as it maintains local superlinear convergence under appropriate assumptions. In this note we give a … Read more