Abstract
This article provides a condensed overview of some of the major
today's features (both classical or recently developed), used in the
design and development of algorithms to solve nonlinear continuous
optimization problems. We first consider the unconstrained
optimization case to introduce the line-search and trust-region
approaches as globalization techniques to force an algorithm to
convergence from any starting point. We then focus on constrained
optimization and give the main ideas of two classes of methods, the
Sequential Quadratic Programming (SQP) methods and the interior-point
methods. We briefly discuss why interior-point methods are now so
popular, in their primal-dual version, while they have been abandoned
about twenty years ago. We also introduce a newly emerging
alternative, called filter method, to the use of a merit function as a
tool to measure progress from one iteration to the next in constrained
optimization. We relate some of the most widely used nonlinear
optimization solvers to the algorithmic features presented, and we
finally give some useful tools for an easy and comprehensive access to
recent developments in nonlinear optimization algorithms and to
practical solvers and their performance.
Original language | English |
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Place of Publication | Namur |
Publisher | FUNDP, Faculté des Sciences. Département de Mathématique. |
Publication status | Published - 2003 |
Keywords
- globalization techniques
- filter methods
- interior-point methods
- overview of algorithms
- SQP~methods
- Nonlinear optimization