Algorithm 1053: SOLNP+: A Derivative-Free Solver for Constrained Nonlinear Optimization

doi:10.1145/3699956

2024-12-12

DOI：10.1145/3699956

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摘要

En 中文

SOLNP+是一种用于约束非线性优化的无导数求解器。它基于Ye在1989年提出的求解非线性规划（SOLNP）方法。其主要思想是使用有限差分来近似目标函数和约束的梯度，并采用增广拉格朗日方法及序列二次规划来处理非线性约束。我们在此新版本中集成了隐式滤波技术、一种新的重启机制以及一个现代二次规划求解器，并采用ANSI C实现。与使用MATLAB实现的老版本相比，该算法在运行时间和抗噪声鲁棒性方面表现出显著优势。数值实验表明，SOLNP+与两种广泛使用的求解器COBYLA和NOMAD具有可比性。SOLNP+可从https://github.com/COPT-Public/SOLNP_plus获取。

Keyword:

Derivative-free optimization

Implicit filtering

Optimization software

期刊

ACM Transactions on Mathematical Software

IF:

3.2

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5.1K

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