I am building an fmincon-style solver. It needs to be able to solve symbolic expressions with nonlinear equality and inequality constraints.
My solver uses a fairly basic Newton-Raphson gradient-descent active set algorithm to solve a set of KKT conditions.
In fmincon, nonlcon is used as a parameter for the nonlinear constraints. Me myself, I have only made a solution for linear and quadratic constraints. If I want to move onto nonlinear constraints, is it okay for me to assume that a gradient-descent algorithm can handle nonlinear expressions? In other words, can I just add nonlinear equality constraints to the equality constraints vector that I have for linear/quadratic constraints; and can i also add nonlinear inequality constraints to the inequality constraints vector that I already have?
I hope to get some insights here. I have tried it with some examples and so far it seems to work but I am not sure if it holds up for all nonlinear expressions.
If anyone needs more information to help me, feel free to ask and I will try to answer as precise as possible. Thank you.
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