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NLP & OC Solvers

Reza Jamilnia

Optimal Control II

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Interior-Point Solvers

Ipfilter

Global Method: penalty

Interfaces: AMPL, C/C++, CUTEr, Java, Matlab, Octave, Python

Language: f77

Website: http://www.mat.uc.pt/ipfilter

Reference: Ulbrich, M., Ulbrich, S., and Vicente, L. (2004). A globally convergent primal-dual interior-point filter method for nonconvex nonlinear programming. Mathematical Programming, 100:379-410.

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Interior-Point Solvers

IPOPT

Global Method: filter / line search

Interfaces: AMPL, CUTEr, C, C++, f77

Language: C++

Website: https://projects.coin-or.org/Ipopt

Reference: Wachter, A. and Biegler, L. T. (2006). On the implementation of an interior-point filter line-search algorithm for large-scale nonlinear programming. Mathematical Programming, 106(1):25–57.

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Interior-Point Solvers

KNITRO

Global Method: penalty / trust region / line search

Interfaces: AMPL, GAMS, Mathematica, MATLAB, MPL, C, C++, f77, Java

Language: C

Website: http://www.ziena.com/knitro.htm

Reference: Byrd, R. H., Nocedal, J., and Waltz, R. A. (2006). Knitro: An integrated package for nonlinear optimization. In di Pillo, G. and Roma, M., editors, Large-Scale Nonlinear Optimization, pages 35–59. Springer-Verlag.

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Interior-Point Solvers

LOQO

Global Method: line search

Interfaces: AMPL, C, MATLAB

Language: C

Website: http://www.princeton.edu/~rvdb/loqo/LOQO.html

Reference: Vanderbei, R. and Shanno, D. (1999). An interior point algorithm for nonconvex nonlinear programming. COAP, 13:231–252.

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SQP Solvers

FilterSQP

Global Method: filter / trust region

Interfaces: AMPL, CUTEr, f77

Language: f77

Website: http://www.mcs.anl.gov/~leyffer/solvers.html

Reference: Fletcher, R. and Leyffer, S. (1998). Usermanual for filterSQP. Numerical Analysis Report NA/181, University of Dundee.

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SQP Solvers

NLPQLP

Global Method: line search

Interfaces: C, f77, MATLAB

Language: f77

Website: http://www.math.uni-bayreuth.de/~kschittkowski/nlpqlp.htm

Reference: Schittkowski, K. (1985). NLPQL: A Fortran subroutine for solving constrained nonlinear programming problems. Annals of Operations Research, 5:485–500.

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SQP Solvers

NPSOL

Global Method: penalty Lagrangian / line search

Interfaces: AIMMS, AMPL, GAMS, MATLAB, C, C++, f77

Language: f77

Website: http://www.sbsi-sol-optimize.com/asp/sol_product_npsol.htm

Reference: Gill, P., Murray, W., Saunders, M., and Wright, M. (1998). User’s guide for NPSOL Version 5.0: A Fortran package for nonlinear programming. Report SOL 86-1, Dept. of Mathematics, University of California, San Diego.

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SQP Solvers

SNOPT

Global Method: penalty Lagrangian / line search

Interfaces: AIMMS, AMPL, GAMS, MATLAB, C, C++, f77

Language: f77

Website: http://www.sbsi-sol-optimize.com/asp/sol_product_snopt.htm

Reference: Gill, P., Murray, W., and Saunders, M. (2006a). User’s guide for SNOPT Version 7: Software for Large-Scale Nonlinear Programming. Report, Dept. of Mathematics, University of California, San Diego.

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SQP Solvers

SQPlab

Global Method: penalty Lagrangian / line search

Interfaces: MATLAB

Language: MATLAB

Website: http://www-rocq.inria.fr/~gilbert/modulopt/optimization-routines/sqplab

Reference: Gilbert, J. C. (2009). SQPlab A MATLAB software for solving nonlinear optimization problems and optimal control problems. Technical report, INRIA Rocquencourt, BP 105, F-78153 Le Chesnay Cedex, France.

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NEOS Server

NEOS (Network-Enabled Optimization System)

www.neos-server.org

- The NEOS Server is a free internet-based service for solving optimization

problems.

- The NEOS Server offers a simple approach for solving a wide variety of

optimization problems and provides several interfaces for accessing the

solvers.

- After a user selects a solver and provides a description of the optimization

problem, the NEOS Server determines the additional information required by

the solver, links the optimization problem with the solver, and returns a

solution upon completion.

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NEOS Server

NEOS Solvers for Nonlinearly Constrained Optimization:

• CONOPT [AMPL Input][GAMS Input]

• FILTER [AMPL Input]

• IPOPT [AMPL Input][GAMS Input]

• KNITRO [AMPL Input][GAMS Input]

• LANCELOT [AMPL Input]

• LOQO [AMPL Input]

• LRAMBO [C Input]

• MINOS [AMPL Input][GAMS Input]

• MOSEK [AMPL Input][GAMS Input]

• PATHNLP [GAMS Input]

• SNOPT [AMPL Input][GAMS Input]

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Optimal Control Solvers

• GPOPS www.gpops2.com

• PROPT www.tomopt.com/tomlab/products/propt/

• DIDO www.elissarglobal.com/academic/products/

• PSOPTwww.psopt.org

• ACADO www.acadotoolkit.org

• BOCOP www.bocop.org

• RIOTS www.schwartz-home.com/RIOTS/

• DIRCOL www.sim.informatik.tu-darmstadt.de/en/res/sw/

dircol/

• ASTOSwww.astos.de

• OTIS otis.grc.nasa.gov/