To build a Sequential Quadratic Programming (SQP) solver in MATLAB, you can follow these general steps:
- Define and initialize the problem variables: Define the objective function and constraints with respect to the problem variables. You should also initialize the initial guess for the optimizer and the linear equality and inequality constraints.
- Implement the SQP algorithm: The SQP algorithm solves a quadratic programming sub-problem at each iteration, then use the solution to update the current solution guess. Define the objective and constraint functions for SQP and run the optimization algorithm.
- Execute and visualize the results: Once the SQP algorithm has completed, visualize the results with appropriate plots and/or output values.
This is a general framework for building an SQP solver in MATLAB. You can customize the problem variables and constraints according to your specific optimization problem.