The Sequential Quadratic Programming Solver: SQP Solver Options :: SAS/OR(R) 9.2 User's Guide: Mathematical Programming

The Sequential Quadratic Programming Solver

SQP Solver Options

The following options are supported by the SQP solver.

HESCHECK|NOHESCHECK: specifies that the solver check (or not check, in the case of NOHESCHECK) the second-order optimality of the solution found - i.e., the nonnegativity of the projected Hessian of the Lagrangian function at the solution. The option NOHESCHECK is used by default.

MAXITER=

specifies that the optimization process is to stop after maximum number of

iterations. The value of this option is an integer between zero and the largest four-byte signed integer, which is $2^{31} - 1$ . An iteration in the SQP solver includes obtaining a search direction and finding a step size along that direction. The default value is 10,000 iterations.

MAXTIME=

specifies an upper limit of

seconds of real time for the optimization process. The default value is 7200 seconds. The time specified by the MAXTIME= option is checked only at the end of each iteration. The optimization terminates when the actual running time is greater than or equal to

PENALTY= $\gamma$

specifies the rate at which the penalty parameters used in the Lagrangian function are reduced. In other words, the real number $\gamma \in (0, 1)$ controls the rate at which the solver converges. A smaller number often results in the solver taking fewer iterations to converge to a solution. However, if the number is set too small, it is known to cause numerical difficulties for the solver. The default value for the PENALTY= option is 0.75.

PRINTFREQ=j

specifies that the printing of the solution progress to the iteration log is to occur after every

iterations. The print frequency,

, is an integer between zero and the largest four-byte signed integer, which is $2^{31} - 1$ . The value

disables the printing of the progress of the solution. The first and last iterations are also displayed. The default value for this option is 1.

Note: The PRINT statement in the OPTMODEL procedure can be used to print the solution of the decision variables to the output.

OPTTOL= $\epsilon$

specifies the convergence tolerance for both stationary and complementary conditions. The value of this option is a positive real number. The default value is 1E - 5. See the section "Solver's Criteria" for details.

FEASTOL= $\epsilon$

specifies the convergence tolerance for feasibility. The value of this option is a positive real number. The default value is 1E - 6. See the section "Solver's Criteria" for details.

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