Stabilized Optimization Via an NCL Algorithm

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

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Author(s)

  • Ding Ma
  • Kenneth L. Judd
  • Dominique Orban
  • Michael A. Saunders

Detail(s)

Original languageEnglish
Title of host publicationNumerical Analysis and Optimization
EditorsMehiddin Al-Baali, Lucio Grandinetti, Anton Purnama
PublisherSpringer Nature
Pages173-191
ISBN (Electronic)9783319900261
ISBN (Print)9783319900254
Publication statusPublished - 2018
Externally publishedYes

Publication series

NameSpringer Proceedings in Mathematics & Statistics
Volume235
ISSN (Print)2194-1009
ISSN (Electronic)2194-1017

Conference

Title4th International Conference of Numerical Analysis and Optimization (NAO-IV 2017)
PlaceOman
CityMuscat
Period2 - 5 January 2017

Abstract

For optimization problems involving many nonlinear inequality constraints, we extend the bound-constrained (BCL) and linearly constrained (LCL) augmented Lagrangian approaches of LANCELOT and MINOS to an algorithm that solves a sequence of nonlinearly constrained augmented Lagrangian subproblems whose nonlinear constraints satisfy the LICQ everywhere. The NCL algorithm is implemented in AMPL and tested on large instances of a tax policy model that could not be solved directly by the state-of-the-art solvers that we tested, because of singularity in the Jacobian of the active constraints. Algorithm NCL with IPOPT as subproblem solver proves to be effective, with IPOPT using second derivatives and successfully warm starting each subproblem.

Research Area(s)

  • Stabilized optimization, LICQ, Augmented Lagrangian, BCL NCL, Interior method, Warm start

Citation Format(s)

Stabilized Optimization Via an NCL Algorithm. / Ma, Ding; Judd, Kenneth L.; Orban, Dominique et al.

Numerical Analysis and Optimization. ed. / Mehiddin Al-Baali; Lucio Grandinetti; Anton Purnama. Springer Nature, 2018. p. 173-191 (Springer Proceedings in Mathematics & Statistics; Vol. 235).

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