Constrained Nonlinear Optimization Algorithms Part II
Presenter
August 4, 2016
Keywords:
- Nonlinear Constrained Optimization - Quadratic Programming - Sequential Quadratic Programming - Interior Point Methods
MSC:
- 90C20
Abstract
This pair of lectures covers practical algorithms for constrained nonlinear optimization problems. These methods are the foundation of many state-of-the art optimization software packages. We first discuss the solution of quadratic programs, including the active-set approach. Building on this foundation, we introduce the sequential quadratic programming (SQP) algorithm and the barrier or interior-point algorithm. Emphasis will be placed on the intuitive derivation of these methods.