A Julia Implementation of Algorithm NCL for Constrained Optimization

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with host publication)peer-review

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Author(s)

  • Ding Ma
  • Dominique Orban
  • Michael A. Saunders

Detail(s)

Original languageEnglish
Title of host publicationNumerical Analysis and Optimization
Subtitle of host publicationNAO-V, Muscat, Oman, January 2020
EditorsMehiddin Al-Baali, Anton Purnama, Lucio Grandinetti
Place of PublicationCham
PublisherSpringer
Pages153-182
Volume354
ISBN (Electronic)9783030720407
ISBN (Print)9783030720391
Publication statusPublished - Nov 2021

Publication series

NameSpringer Proceedings in Mathematics and Statistics
Volume354
ISSN (Print)2194-1009
ISSN (Electronic)2194-1017

Conference

Title5th International Conference on Numerical Analysis and Optimization (NAO-V 2020)
LocationSultan Qaboos University
PlaceOman
CityMuscat
Period6 - 9 January 2020

Abstract

Algorithm NCL is designed for general smooth optimization problems where first and second derivatives are available, including problems whose constraints may not be linearly independent at a solution (i.e., do not satisfy the LICQ). It is equivalent to the LANCELOT augmented Lagrangian method, reformulated as a short sequence of nonlinearly constrained subproblems that can be solved efficiently by IPOPT and KNITRO, with warm starts on each subproblem. We give numerical results from a Julia implementation of Algorithm NCL on tax policy models that do not satisfy the LICQ, and on nonlinear least-squares problems and general problems from the CUTEst test set.

Research Area(s)

  • Constrained optimization, Second derivatives, Algorithm NCL, Julia

Citation Format(s)

A Julia Implementation of Algorithm NCL for Constrained Optimization. / Ma, Ding; Orban, Dominique; Saunders, Michael A.
Numerical Analysis and Optimization: NAO-V, Muscat, Oman, January 2020. ed. / Mehiddin Al-Baali; Anton Purnama; Lucio Grandinetti. Vol. 354 Cham: Springer, 2021. p. 153-182 (Springer Proceedings in Mathematics and Statistics; Vol. 354).

Research output: Chapters, Conference Papers, Creative and Literary Works (RGC: 12, 32, 41, 45)32_Refereed conference paper (with host publication)peer-review