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Nonlinear Constrained Optimization: Methods and Software

ARGONNE NATIONAL LABORATORY9700 South Cass AvenueArgonne, Illinois 60439 Nonlinear Constrained optimization : Methods and SoftwareSven Leyffer and Ashutosh MahajanMathematics and Computer Science DivisionPreprint ANL/MCS-P1729-0310 March 17, 2010 This work was supported by the Office of Advanced Scientific Computing Research, Office of Science, Departmentof Energy, under Contract Background and Introduction12 Convergence Test and Termination Conditions23 Local Model: Improving a Solution Linear and Quadratic Programming .. Methods ..54 Globalization Strategy: Convergence from Remote Starting lagrangian Methods .. and Merit Function Methods .. and Funnel Methods .. Effect and Loss of Fast Convergence .. 105 Globalization Methods .. Methods .. 116 Nonlinear optimization Software : Summary127 Interior-Point .. 158 Sequential Linear/Quadratic.

interior-point models. Models that are based on the augmented Lagrangian method are more suitably described in the context of globalization strategies in Section4. 3.1 Sequential Linear and Quadratic Programming Sequential linear and quadratic programming methods construct a linear or quadratic approxi-

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