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Optimization techniques for tree-structured nonlinear problems. (English) Zbl 07304217
Summary: Robust model predictive control approaches and other applications lead to nonlinear optimization problems defined on (scenario) trees. We present structure-preserving Quasi-Newton update formulas as well as structured inertia correction techniques that allow to solve these problems by interior-point methods with specialized KKT solvers for tree-structured optimization problems. The same type of KKT solvers could be used in active-set based SQP methods. The viability of our approach is demonstrated by two robust control problems.
MSC:
90Bxx Operations research and management science
90-08 Computational methods for problems pertaining to operations research and mathematical programming
90C06 Large-scale problems in mathematical programming
90C15 Stochastic programming
90C30 Nonlinear programming
90C51 Interior-point methods
Software:
SNOPT; ve08; KNITRO; L-BFGS; Ipopt
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