An iteration of the sequential quadratically constrained quadratic programming method (SQCQP) consists of minimizing a quadratic approximation of the objective function subject to quadratic ...

Jérôme Bolte, Edouard Pauwels, Majorization-Minimization Procedures and Convergence of SQP Methods for Semi-Algebraic and Tame Programs, Mathematics of Operations Research, Vol. 41, No. 2 (May 2016), ...

References [1] An efficient and provable sequential quadratic programming method for American and swing option pricing. European Journal of Operational Research (2024).