CONOPT: A GRG code for large sparse dynamic nonlinear optimization problems. (English) Zbl 0557.90088

Summary: The paper presents CONOPT, an optimization system for static and dynamic large-scale nonlinearly constrained optimization problems. The system is based on the GRG algorithm. All computations involving the Jacobian of the constraints use sparse-matrix algorithms from linear programming, modified to deal with the nonlinearity and to take maximum advantage of the periodic structure in dynamic models. The paper presents the main features of the system, especially the inversion routines and their data structures, the dynamic setting of tolerances in Newton’s algorithm, and the user features in the overall packaging. The difficulties with implementing a practical GRG algorithm are described in detail. Computational experience with some medium to large models is presented, indicating the viability of CONOPT for certain real-life problems, particularly those involving almost as many constraints as variables.


90C30 Nonlinear programming
65K05 Numerical mathematical programming methods
49M37 Numerical methods based on nonlinear programming
90C52 Methods of reduced gradient type
90C06 Large-scale problems in mathematical programming


Full Text: DOI


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