A Noise Tolerant SQP Algorithm for Inequality Constrained Optimization

Abstract

We propose a sequential quadratic programming (SQP) algorithm for inequality constrained optimization that is robust to the presence of bounded noise in function and derivative evaluations. We cover the case where constraint evaluations contain noise as well as the objective. The proposed algorithm is a line search SQP method with relaxations to deal with noise. We study the effect of noise on the global convergence behavior of the algorithm. We implement the algorithm with noise-aware quasi-Newton updates, and numerically observe that the algorithm can achieve accuracy proportional to the noise level and problem-dependent parameters, as suggested by the theory.