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71
Snopt: An SQP Algorithm For LargeScale Constrained Optimization
, 1997
"... Sequential quadratic programming (SQP) methods have proved highly effective for solving constrained optimization problems with smooth nonlinear functions in the objective and constraints. Here we consider problems with general inequality constraints (linear and nonlinear). We assume that first deriv ..."
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Cited by 332 (18 self)
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Sequential quadratic programming (SQP) methods have proved highly effective for solving constrained optimization problems with smooth nonlinear functions in the objective and constraints. Here we consider problems with general inequality constraints (linear and nonlinear). We assume that first derivatives are available, and that the constraint gradients are sparse.
An interiorpoint method for largescale l1regularized logistic regression
 Journal of Machine Learning Research
, 2007
"... Logistic regression with ℓ1 regularization has been proposed as a promising method for feature selection in classification problems. In this paper we describe an efficient interiorpoint method for solving largescale ℓ1regularized logistic regression problems. Small problems with up to a thousand ..."
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Cited by 156 (5 self)
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Logistic regression with ℓ1 regularization has been proposed as a promising method for feature selection in classification problems. In this paper we describe an efficient interiorpoint method for solving largescale ℓ1regularized logistic regression problems. Small problems with up to a thousand or so features and examples can be solved in seconds on a PC; medium sized problems, with tens of thousands of features and examples, can be solved in tens of seconds (assuming some sparsity in the data). A variation on the basic method, that uses a preconditioned conjugate gradient method to compute the search step, can solve very large problems, with a million features and examples (e.g., the 20 Newsgroups data set), in a few minutes, on a PC. Using warmstart techniques, a good approximation of the entire regularization path can be computed much more efficiently than by solving a family of problems independently.
CUTE: Constrained and unconstrained testing environment
, 1993
"... The purpose of this paper is to discuss the scope and functionality of a versatile environment for testing small and largescale nonlinear optimization algorithms. Although many of these facilities were originally produced by the authors in conjunction with the software package LANCELOT, we belie ..."
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Cited by 152 (3 self)
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The purpose of this paper is to discuss the scope and functionality of a versatile environment for testing small and largescale nonlinear optimization algorithms. Although many of these facilities were originally produced by the authors in conjunction with the software package LANCELOT, we believe that they will be useful in their own right and should be available to researchers for their development of optimization software. The tools are available by anonymous ftp from a number of sources and may, in many cases, be installed automatically. The scope of a major collection of test problems written in the standard input format (SIF) used by the LANCELOT software package is described. Recognising that most software was not written with the SIF in mind, we provide tools to assist in building an interface between this input format and other optimization packages. These tools already provide a link between the SIF and an number of existing packages, including MINOS and OSL. In ad...
Sequential Quadratic Programming
, 1995
"... this paper we examine the underlying ideas of the SQP method and the theory that establishes it as a framework from which effective algorithms can ..."
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Cited by 115 (2 self)
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this paper we examine the underlying ideas of the SQP method and the theory that establishes it as a framework from which effective algorithms can
User's Guide For SNOPT 5.3: A Fortran Package For LargeScale Nonlinear Programming
, 1999
"... SNOPT is a generalpurpose system for solving optimization problems involving many variables and constraints. It minimizes a linear or nonlinear function subject to bounds on the variables and sparse linear or nonlinear constraints. It is suitable for largescale linear and quadratic programming ..."
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Cited by 75 (1 self)
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SNOPT is a generalpurpose system for solving optimization problems involving many variables and constraints. It minimizes a linear or nonlinear function subject to bounds on the variables and sparse linear or nonlinear constraints. It is suitable for largescale linear and quadratic programming and for linearly constrained optimization, as well as for general nonlinear programs. SNOPT finds solutions that are locally optimal , and ideally any nonlinear functions should be smooth and users should provide gradients. It is often more widely useful. For example, local optima are often global solutions, and discontinuities in the function gradients can often be tolerated if they are not too close to an optimum. Unknown gradients are estimated by finite differences. SNOPT uses a sequential quadratic programming (SQP) algorithm that obtains search directions from a sequence of quadratic programming subproblems. Each QP subproblem minimizes a quadratic model of a certain Lagrangian function subject to a linearization of the constraints. An augmented Lagrangian merit function is reduced along each search direction to ensure convergence from any starting point. SNOPT is most efficient if only some of the variables enter nonlinearly, or if the number of active constraints (including simple bounds) is nearly as large as the number of variables. SNOPT requires relatively few evaluations of the problem functions. Hence it is especially effective if the objective or constraint functions (and their gradients) are expensive to evaluate. The source code for SNOPT is suitable for any machine with a Fortran compiler. SNOPT may be called from a driver program (typically in Fortran, C or MATLAB). SNOPT can also be used as a standalone package, reading data in the MPS ...
Computer Experiments
, 1996
"... Introduction Deterministic computer simulations of physical phenomena are becoming widely used in science and engineering. Computers are used to describe the flow of air over an airplane wing, combustion of gasses in a flame, behavior of a metal structure under stress, safety of a nuclear reactor, a ..."
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Cited by 68 (5 self)
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Introduction Deterministic computer simulations of physical phenomena are becoming widely used in science and engineering. Computers are used to describe the flow of air over an airplane wing, combustion of gasses in a flame, behavior of a metal structure under stress, safety of a nuclear reactor, and so on. Some of the most widely used computer models, and the ones that lead us to work in this area, arise in the design of the semiconductors used in the computers themselves. A process simulator starts with a data structure representing an unprocessed piece of silicon and simulates the steps such as oxidation, etching and ion injection that produce a semiconductor device such as a transistor. A device simulator takes a description of such a device and simulates the flow of current through it under varying conditions to determine properties of the device such as its switching speed and the critical voltage at which it switches. A circuit simulator takes a list of devices and the
Optimal design of a CMOS opamp via geometric programming
 IEEE Transactions on ComputerAided Design
, 2001
"... We describe a new method for determining component values and transistor dimensions for CMOS operational ampli ers (opamps). We observe that a wide variety of design objectives and constraints have a special form, i.e., they are posynomial functions of the design variables. As a result the ampli er ..."
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Cited by 52 (10 self)
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We describe a new method for determining component values and transistor dimensions for CMOS operational ampli ers (opamps). We observe that a wide variety of design objectives and constraints have a special form, i.e., they are posynomial functions of the design variables. As a result the ampli er design problem can be expressed as a special form of optimization problem called geometric programming, for which very e cient global optimization methods have been developed. As a consequence we can e ciently determine globally optimal ampli er designs, or globally optimal tradeo s among competing performance measures such aspower, openloop gain, and bandwidth. Our method therefore yields completely automated synthesis of (globally) optimal CMOS ampli ers, directly from speci cations. In this paper we apply this method to a speci c, widely used operational ampli er architecture, showing in detail how to formulate the design problem as a geometric program. We compute globally optimal tradeo curves relating performance measures such as power dissipation, unitygain bandwidth, and openloop gain. We show how the method can be used to synthesize robust designs, i.e., designs guaranteed to meet the speci cations for a
Finding Chaos in Noisy Systems
, 1991
"... In the past twenty years there has been much interest in the physical and biological sciences in nonlinear dynamical systems that appear to have random, unpredictable behavior. One important parameter of a dynamic system is the dominant Lyapunov exponent (LE). When the behavior of the system is comp ..."
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Cited by 49 (1 self)
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In the past twenty years there has been much interest in the physical and biological sciences in nonlinear dynamical systems that appear to have random, unpredictable behavior. One important parameter of a dynamic system is the dominant Lyapunov exponent (LE). When the behavior of the system is compared for two similar initial conditions, this exponent is related to the rate at which the subsequent trajectories diverge. A bounded system with a positive LE is one operational definition of chaotic behavior. Most methods for determining the LE have assumed thousands of observations generated from carefully controlled physical experiments. Less attention has been given to estimating the LE for biological and economic systems that are subjected to random perturbations and observed over a limited amount of time. Using nonparametric regression techniques (Neural Networks and Thin Plate Splines) it is possible to consistently estimate the LE. The properties of these methods have been studied using simulated data and are applied to a biological time series: marten fur returns for the Hudson Bay Company (18201900). Based on a nonparametric analysis there is little evidence for lowdimensional chaos in these data. Although these methods appear to work well for systems perturbed by small amounts of noise, finding chaos in a system with a significant stochastic component may be difficult.
TrustRegion InteriorPoint SQP Algorithms For A Class Of Nonlinear Programming Problems
 SIAM J. CONTROL OPTIM
, 1997
"... In this paper a family of trustregion interiorpoint SQP algorithms for the solution of a class of minimization problems with nonlinear equality constraints and simple bounds on some of the variables is described and analyzed. Such nonlinear programs arise e.g. from the discretization of optimal co ..."
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Cited by 35 (8 self)
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In this paper a family of trustregion interiorpoint SQP algorithms for the solution of a class of minimization problems with nonlinear equality constraints and simple bounds on some of the variables is described and analyzed. Such nonlinear programs arise e.g. from the discretization of optimal control problems. The algorithms treat states and controls as independent variables. They are designed to take advantage of the structure of the problem. In particular they do not rely on matrix factorizations of the linearized constraints, but use solutions of the linearized state equation and the adjoint equation. They are well suited for large scale problems arising from optimal control problems governed by partial differential equations. The algorithms keep strict feasibility with respect to the bound constraints by using an affine scaling method proposed for a different class of problems by Coleman and Li and they exploit trustregion techniques for equalityconstrained optimizatio...