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SNOPT: An SQP Algorithm For LargeScale Constrained Optimization
, 2002
"... 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 597 (24 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. We discuss
Automatic Decrease of the Penalty Parameter in Exact Penalty Function Methods
 European Journal of Operational Research
, 1995
"... This paper presents an analysis of the involvement of the penalty parameter in exact penalty function methods that yields modifications to the standard outer loop which decreases the penalty parameter (typically dividing it by a constant). The procedure presented is based on the simple idea of makin ..."
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Cited by 6 (0 self)
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This paper presents an analysis of the involvement of the penalty parameter in exact penalty function methods that yields modifications to the standard outer loop which decreases the penalty parameter (typically dividing it by a constant). The procedure presented is based on the simple idea of making explicit the dependence of the penalty function upon the penalty parameter and is illustrated on a linear programming problem with the l 1 exact penalty function and an activeset approach. The procedure decreases the penalty parameter, when needed, to the maximal value allowing the inner minimization algorithm to leave the current iterate. It moreover avoids unnecessary calculations in the iteration following the step in which the penalty parameter is decreased. We report on preliminary computational results which show that this method can require fewer iterations than the standard way to update the penalty parameter. This approach permits a better understanding of the performance of exac...
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, 1982
"... Any opinions, findings, and conclusions or recommendations expressed in this publication are those of the author(s) and do NOT necessarily reflect the views of the above sponsors. Reproduction in whole or in part is permitted for any purposes of the United States Government. This document has been a ..."
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Any opinions, findings, and conclusions or recommendations expressed in this publication are those of the author(s) and do NOT necessarily reflect the views of the above sponsors. Reproduction in whole or in part is permitted for any purposes of the United States Government. This document has been approved for public release and sale; its distribution is unlimited. Procedures for Optimization Problems with a Mixture of Bounds and General Linear Constraints