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 ISBN/ISSN) › peer-review
Author(s)
Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Title of host publication | Numerical Analysis and Optimization |
| Subtitle of host publication | NAO-V, Muscat, Oman, January 2020 |
| Editors | Mehiddin Al-Baali, Anton Purnama, Lucio Grandinetti |
| Place of Publication | Cham |
| Publisher | Springer |
| Pages | 153-182 |
| Volume | 354 |
| ISBN (Electronic) | 9783030720407 |
| ISBN (Print) | 9783030720391 |
| Publication status | Published - Nov 2021 |
Publication series
| Name | Springer Proceedings in Mathematics and Statistics |
|---|---|
| Volume | 354 |
| ISSN (Print) | 2194-1009 |
| ISSN (Electronic) | 2194-1017 |
Conference
| Title | 5th International Conference on Numerical Analysis and Optimization (NAO-V 2020) |
|---|---|
| Location | Sultan Qaboos University |
| Place | Oman |
| City | Muscat |
| Period | 6 - 9 January 2020 |
Link(s)
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 ISBN/ISSN) › peer-review
