Campuses:

Constrained Nonlinear Optimization Algorithms Part I

Thursday, August 4, 2016 - 11:00am - 12:30pm
Lind 305
Andreas Waechter (Northwestern University)
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.
MSC Code: 
90C20