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Nonlinear Programming FAQ

2009-11-20T06:25:41Z

Other nonlinear programming codes: nlopt

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	A [http://plato.la.asu.edu/donlp2.html newer version of <tt>donlp2</tt>], mentioned above, is available. This is P. Spellucci's implementation of a SQP method for general nonlinear optimization problems including nonlinear equality and inequality constraints (generally referred to as the NLP problem). It is freely available for non-commercial and research use, and includes a number of nontrivial examples. There are Fortran 77, Fortran 90 and f2c-converted C versions, with a variety of options for the gradient computations.		A [http://plato.la.asu.edu/donlp2.html newer version of <tt>donlp2</tt>], mentioned above, is available. This is P. Spellucci's implementation of a SQP method for general nonlinear optimization problems including nonlinear equality and inequality constraints (generally referred to as the NLP problem). It is freely available for non-commercial and research use, and includes a number of nontrivial examples. There are Fortran 77, Fortran 90 and f2c-converted C versions, with a variety of options for the gradient computations.
		+
		+	The [[NLopt]] library provides free/open-source implementation of a number of different local and global optimization algorithms for nonlinear programming, including bound constraints and general nonlinear inequality constraints, with function values only or exploiting user-supplied gradients.

	Packages for large bound-constrained problems (that is, having only simple lower and upper bounds on the variables as constraints) include [http://www-unix.mcs.anl.gov/%7Emore/tron/ TRON], a trust-region Newton method implemented by Lin and Mor, and [http://www.ece.northwestern.edu/%7Enocedal/lbfgsb.html L-BFGS-B], a limited-memory method by Zhu and Nocedal.		Packages for large bound-constrained problems (that is, having only simple lower and upper bounds on the variables as constraints) include [http://www-unix.mcs.anl.gov/%7Emore/tron/ TRON], a trust-region Newton method implemented by Lin and Mor, and [http://www.ece.northwestern.edu/%7Enocedal/lbfgsb.html L-BFGS-B], a limited-memory method by Zhu and Nocedal.
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	* [http://www.ics.forth.gr/%7Elourakis/levmar/ LEVMAR] is an implementation of the Levenberg-Marquardt algorithm for nonlinear least squares problems, written by Manolis Lourakis.		* [http://www.ics.forth.gr/%7Elourakis/levmar/ LEVMAR] is an implementation of the Levenberg-Marquardt algorithm for nonlinear least squares problems, written by Manolis Lourakis.
	* [ftp://netlib2.cs.utk.edu/minpack MINPACK] solves dense nonlinear least-squares problems. Contact Jorge More' (<tt>more@mcs.anl.gov</tt>).		* [ftp://netlib2.cs.utk.edu/minpack MINPACK] solves dense nonlinear least-squares problems. Contact Jorge More' (<tt>more@mcs.anl.gov</tt>).
		+	* [[NLopt]] - free/open-source implementations of a number of nonlinear optimization algorithms (local and global, nonlinear constraints, with or without user-supplied gradients)
	* [http://www.omatrix.com/ O-Matrix for Windows] - incorporates several nonlinear optimization tools.		* [http://www.omatrix.com/ O-Matrix for Windows] - incorporates several nonlinear optimization tools.
	* [http://hqp.sourceforge.net/ Omuses/HQP] comprises a solver for nonlinearly constrained large-scale optimization problems (especially with regular sparsity structure) and a front end based on C++ and ADOL-C. It uses a Newton-type SQP method, with an interior-point procedure for the treatment of constraints. It is available under the [http://www.gnu.org/copyleft/lesser.html GNU Lesser General Public License].		* [http://hqp.sourceforge.net/ Omuses/HQP] comprises a solver for nonlinearly constrained large-scale optimization problems (especially with regular sparsity structure) and a front end based on C++ and ADOL-C. It uses a Newton-type SQP method, with an interior-point procedure for the treatment of constraints. It is available under the [http://www.gnu.org/copyleft/lesser.html GNU Lesser General Public License].

NLopt

2009-11-19T22:59:43Z

clarification

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	* A common interface for [http://ab-initio.mit.edu/wiki/index.php/NLopt_Algorithms many different algorithms]—try a different algorithm just by changing one parameter.		* A common interface for [http://ab-initio.mit.edu/wiki/index.php/NLopt_Algorithms many different algorithms]—try a different algorithm just by changing one parameter.
	* Both global and local optimization algorithms.		* Both global and local optimization algorithms.
-	* ~~Both derivative-free~~ and ~~gradient~~-~~based optimization algorithms.~~	+	* Algorithms using function values only, and algorithms exploiting user-supplied gradients
	* Algorithms for unconstrained optimization, bound-constrained optimization, and general nonlinear inequality constraints.		* Algorithms for unconstrained optimization, bound-constrained optimization, and general nonlinear inequality constraints.
	* Free/open-source software under the GNU LGPL (and looser licenses for some portions of NLopt).		* Free/open-source software under the GNU LGPL (and looser licenses for some portions of NLopt).

Optimization Software Guide

2009-11-19T22:59:01Z

The Full List...:

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	* [[NETFLOW]] - network optimization.		* [[NETFLOW]] - network optimization.
	* [[NITSOL]] - systems of nonlinear equations.		* [[NITSOL]] - systems of nonlinear equations.
		+	* [[NLopt]] - local and global nonlinear optimization, including nonlinear constraints, with and without user-supplied gradients
	* [[NLPE]] - minimization and least squares problems.		* [[NLPE]] - minimization and least squares problems.
	* [[NLPJOB]] - Mulicriteria optimization.		* [[NLPJOB]] - Mulicriteria optimization.

Global Optimization Software

2009-11-19T22:58:08Z

nlopt link

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	* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/opttek.html OptQuest] - global optimization.		* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/opttek.html OptQuest] - global optimization.
	* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/qapp.html QAPP] - quadratic assignment problems.		* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/qapp.html QAPP] - quadratic assignment problems.
		+	* [[NLopt]] - several global optimization algorithms (continuous parameters only), including nonlinear constraints

	= Software offering Global Optimization Solvers=		= Software offering Global Optimization Solvers=

Nonlinear Programming Software

2009-11-19T22:57:13Z

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	* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/synaps.html SYNAPS Pointer] - multidiscplinary design optimization software.		* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/synaps.html SYNAPS Pointer] - multidiscplinary design optimization software.
	* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/whatsbest.html What's Best] - Excel add-in for linear, integer, nonlinear programming.		* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/whatsbest.html What's Best] - Excel add-in for linear, integer, nonlinear programming.
-		+	* [[NLopt]] - a variety of nonlinear-constrained nonlinear optimization algorithms, including algorithms for large-scale problems

	= Software offering NLP Solvers=		= Software offering NLP Solvers=

Bound Constrained Optimization Software

2009-11-19T22:56:01Z

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	* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/tn_tnbc.html TN/TNBC] - minimization.		* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/tn_tnbc.html TN/TNBC] - minimization.
	* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/ve08.html VE08] - nonlinear optimization.		* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/ve08.html VE08] - nonlinear optimization.
		+	* [[NLopt]] - nonlinear optimization

Unconstrained Optimization Software

2009-11-19T22:55:46Z

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	* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/asa.html ASA ]- adaptive simulated annealing.		* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/asa.html ASA ]- adaptive simulated annealing.
	* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/btn.html BTN ]- block truncated Newton.		* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/btn.html BTN ]- block truncated Newton.
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	* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/uncmin.html UNCMIN] - unconstrained optimization.		* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/uncmin.html UNCMIN] - unconstrained optimization.
	* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/ve08.html VE08] - nonlinear optimization.		* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/ve08.html VE08] - nonlinear optimization.
		+	* [[NLopt]] - nonlinear optimization

Global Optimization

2009-11-19T22:55:15Z

link NLopt

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	[http://www.mat.univie.ac.at/~neum/glopt.html Global Optimization]. A web page that contains several links to software, test problems, test results, papers, conferences and researchers. Not all of the links pertain to just global techniques; there are many links to information on local optimization as well.		[http://www.mat.univie.ac.at/~neum/glopt.html Global Optimization]. A web page that contains several links to software, test problems, test results, papers, conferences and researchers. Not all of the links pertain to just global techniques; there are many links to information on local optimization as well.
		+
		+	The [[NLopt]] library provides several different global optimization algorithms for functions of continuous parameters, including nonlinear constraints: multistart algorithms, controlled random search, DIRECT search, and evolution strategies with stochastic ranking (ISRES).

Nonlinearly Constrained Optimization

2009-11-19T22:53:05Z

Further Details: mention NLopt

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	* [http://www-fp.mcs.anl.gov/otc/Guide/OptWeb/continuous/constrained/nonlinearcon/section2_1_3.html Feasible Sequential Quadratic Programming]		* [http://www-fp.mcs.anl.gov/otc/Guide/OptWeb/continuous/constrained/nonlinearcon/section2_1_3.html Feasible Sequential Quadratic Programming]
	* [http://www-fp.mcs.anl.gov/otc/Guide/OptWeb/continuous/constrained/nonlinearcon/sectionstar2_1_4.html Notes and References]		* [http://www-fp.mcs.anl.gov/otc/Guide/OptWeb/continuous/constrained/nonlinearcon/sectionstar2_1_4.html Notes and References]
		+
		+	[[NLopt]] includes a variety of local and global algorithms for nonlinear-inequality constrained optimization, with and without user-supplied gradients, including a variety of sequential convex approximations (linear, separable MMA approximations, and quadratic approximation).

Bound Constrained Optimization

2009-11-19T22:50:50Z

mention NLopt

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	* [http://www-fp.mcs.anl.gov/otc/Guide/OptWeb/continuous/constrained/boundcon/section2_1_2.html Gradient-Projection Methods]		* [http://www-fp.mcs.anl.gov/otc/Guide/OptWeb/continuous/constrained/boundcon/section2_1_2.html Gradient-Projection Methods]
	* [http://www-fp.mcs.anl.gov/otc/Guide/OptWeb/continuous/constrained/boundcon/sectionstar2_1_3.html Notes and References]		* [http://www-fp.mcs.anl.gov/otc/Guide/OptWeb/continuous/constrained/boundcon/sectionstar2_1_3.html Notes and References]
		+
		+	[[NLopt]] includes a variety of methods for bound-counstrained optimization, including Newton methods, successive linear approximations, and box-constrained Nelder–Mead-like methods, using function values only or exploiting gradient information. It also includes box-constrained global optimization method (e.g. direct search, multistart algorithms, controlled random search, and evolutionary algorithms).

Newton Methods

2009-11-19T22:47:54Z

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-	[http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/imsl.html IMSL], [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/lancelot.html LANCELOT], [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/matlab.html MATLAB], NAG ([http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/nagf.html NAG Fortran], or [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/nagc.html NAG C]) [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/optima.html OPTIMA], [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/port.html PORT 3], [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/tn_tnbc.html TN/TNBC ], ~~and~~ [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/ve08.html VE08] implement quasi-Newton, truncated Newton, and Newton algorithms for bound-constrained optimization. The [http://www-neos.mcs.anl.gov/ NEOS SERVER's] [http://www-neos.mcs.anl.gov/ bound-constrained minimization] facility also implements a quasi-Newton algorithm. All these codes implement line-search and trust-region versions of unconstrained minimization algorithms, so our discussion here is brief, emphasizing the differences between the unconstrained and bound-constrained cases.	+	[http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/imsl.html IMSL], [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/lancelot.html LANCELOT], [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/matlab.html MATLAB], NAG ([http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/nagf.html NAG Fortran], or [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/nagc.html NAG C]) [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/optima.html OPTIMA], [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/port.html PORT 3], [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/tn_tnbc.html TN/TNBC ], [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/ve08.html VE08], and [[NLopt]] implement quasi-Newton, truncated Newton, and Newton algorithms for bound-constrained optimization. The [http://www-neos.mcs.anl.gov/ NEOS SERVER's] [http://www-neos.mcs.anl.gov/ bound-constrained minimization] facility also implements a quasi-Newton algorithm. All these codes implement line-search and trust-region versions of unconstrained minimization algorithms, so our discussion here is brief, emphasizing the differences between the unconstrained and bound-constrained cases.

	A line-search method for bound-constrained problems generates a sequence of iterates by setting		A line-search method for bound-constrained problems generates a sequence of iterates by setting

Unconstrained Optimization

2009-11-19T22:47:06Z

mention NLopt

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	* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/uncmin.html UNCMIN]		* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/uncmin.html UNCMIN]
	* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/ve08.html VE08]		* [http://www-fp.mcs.anl.gov/otc/Guide/SoftwareGuide/Blurbs/ve08.html VE08]
		+
		+	[[NLopt]] includes multiple unconstrained optimization methods: methods using function values only or methods exploiting user-supplied gradients, quasi-Newton methods (quadratic approximations) or methods based on linear approximations, and methods like Nelder-Mead simplex and variants such as the subplex algorithm that do not rely on smooth approximations.

	The [http://www-neos.mcs.anl.gov/ NEOS Server] also has an unconstrained minimization facility to solve these problems remotely over the Internet.		The [http://www-neos.mcs.anl.gov/ NEOS Server] also has an unconstrained minimization facility to solve these problems remotely over the Internet.

NLopt

2009-11-19T22:43:05Z

added page on NLopt

New page

==NLopt==

'''NLopt''' is a free/open-source library developed at MIT for '''nonlinear optimization''', providing a common interface for a number of different free optimization routines available online as well as original implementations of various other algorithms. Its features include:

* Callable from C, C++, Fortran, GNU Octave, and Matlab.
* A common interface for [http://ab-initio.mit.edu/wiki/index.php/NLopt_Algorithms many different algorithms]—try a different algorithm just by changing one parameter.
* Both global and local optimization algorithms.
* Both derivative-free and gradient-based optimization algorithms.
* Algorithms for unconstrained optimization, bound-constrained optimization, and general nonlinear inequality constraints.
* Free/open-source software under the GNU LGPL (and looser licenses for some portions of NLopt).

More information about NLopt, including a [http://ab-initio.mit.edu/wiki/index.php/NLopt_manual manual], [http://dir.gmane.org/gmane.science.analysis.nlopt.general mailing list], and download links, can be found at the NLopt web page:

* [http://ab-initio.mit.edu/wiki/index.php/NLopt NLopt home page]

User:Sjohnson

2009-11-19T19:49:05Z

created new account User:Sjohnson

New page

GAMS

2009-11-13T13:26:52Z

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	==Timeline==		==Timeline==
-	* ~~1975~~ GAMS idea is presented at the ISMP Budapest	+	* 1976 GAMS idea is presented at the ISMP Budapest
	* 1978 Phase I: GAMS supports [[Linear Programming]]. Supported platforms: Mainframes and Unix Workstations		* 1978 Phase I: GAMS supports [[Linear Programming]]. Supported platforms: Mainframes and Unix Workstations
	* 1979 Phase II: GAMS supports [[Nonlinear Programming]].		* 1979 Phase II: GAMS supports [[Nonlinear Programming]].
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	* 2006 GAMS supports parallel [[grid computing]]		* 2006 GAMS supports parallel [[grid computing]]
	* 2007 GAMS supports open-source [[solver]]s from [https://projects.coin-or.org/GAMSlinks COIN-OR]		* 2007 GAMS supports open-source [[solver]]s from [https://projects.coin-or.org/GAMSlinks COIN-OR]
		+	* 2008 Support for 32 and 64 bit Mac OS X

	==Background==		==Background==