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SQPlab

swMATH ID: 5161
Software Authors: Bonnans, J. F.; Gilbert, J. Ch.; Lemaréchal, C.; Sagastizábal, C. A.
Description: The SQPlab (pronounce S-Q-P-lab) software presented in these pages is a modest Matlab implementation of the SQP algorithm for solving constrained optimization problems. The functions defining the problem can be nonlinear and nonconvex, but must be differentiable. A particular attention will be paid to problems with an optimal control structure. SQP stands for Sequential Quadratic Programming, a method invented in the mid-seventies, which can be viewed as the Newton approach applied to the optimality conditions of the optimization problem. Each iteration of the SQP algorithm requires finding a solution to a quadratic program (QP). This is a simpler optimization problem, which has a quadratic objective and linear constraints. This QP is still difficult to solve however; in particular it is NP-hard when the quadratic objective is nonconvex. On the other hand, as a Newton method, the SQP algorithm converges very rapidly, meaning that it requires few iterations (hence QP solves) to find an approximate solution with a good precision (this is particularly true when second derivatives are used). Therefore, one can say that the SQP algorithm is an appropriate approach when the evaluation of the functions defining the nonlinear optimization problem, and their derivatives, is time consuming. Indeed, in this case, the time spent in finding the solution to the QP’s is counterbalanced by the time spent in evaluating nonlinear functions. Since the functions are evaluated once at each iteration, one can then benefit from the small number of iterations required by the method. If the rule above does not apply, a nonlinear interior point algorithm can do better.
Homepage: https://www-rocq.inria.fr/~gilbert/modulopt/optimization-routines/sqplab/sqplab.html
Programming Languages: Matlab
Dependencies: Matlab
Keywords: optimization; The Constrained NLO Problem
Related Software: PLCP; Ipopt; L-BFGS; GradSamp; LBFGS-B; LDGB; Matlab; SNOPT; PNEW; SLQP-GS; Mosek; Gurobi; UNLocBoX; CUTEr; KELLEY; Julia; L-BFGS-B; UFO; DGM; EGO
Cited in: 204 Documents
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Cited by 377 Authors

20 Sagastizábal, Claudia A.
17 Solodov, Mikhail V.
9 Gilbert, Jean Charles
8 de Oliveira, Welington Luis
8 Izmailov, Alekseĭ F.
7 Van Ackooij, Wim
6 Jian, Jinbao
5 Bonnans, Joseph Frédéric
5 Tang, Chunming
4 Pang, Liping
4 Strekalovskiĭ, Aleksandr Sergeevich
3 Carlier, Guillaume
3 Chouzenoux, Emilie
3 Ellabib, Abdellatif
3 Helou, Elias Salomão
3 Lelièvre, Tony
3 Liu, Chongyang
3 Luna, Juan Pablo
3 Orlov, Andreĭ Vasil’evich
3 Ouakrim, Youssef
3 Rousset, Mathias
3 Santos, Sandra Augusta
3 Schmidt, Martin
3 Simões, Lucas Eduardo Azevedo
3 Stoltz, Gabriel
3 Wang, Xiaoliang
2 Allaire, Grégoire
2 Apkarian, Pierre
2 Bareilles, Gilles
2 Ben Gharbia, Ibtihel
2 Benmansour, Fethallah
2 Chen, Ke
2 Couckuyt, Ivo
2 Dabaghi, Jad
2 Dhaene, Tom
2 Dussault, Jean-Pierre
2 Fercoq, Olivier
2 Frangioni, Antonio
2 Geers, Marc G. D.
2 Hare, Warren L.
2 Iutzeler, Franck
2 Kleinert, Thomas
2 Kouri, Drew P.
2 Lacalandra, Fabrizio
2 Lanckriet, Gert R. G.
2 Lemaréchal, Claude
2 Liu, Shuai
2 Maleknia, Morteza
2 Malick, Jérôme
2 Métivier, Ludovic
2 Noll, Dominikus
2 Outrata, Jiří V.
2 Pázman, Andrej
2 Peerlings, Ron H. J.
2 Pesquet, Jean-Christophe
2 Peyré, Gabriel
2 Planiden, Chayne
2 Rokoš, Ondřej
2 Santambrogio, Filippo
2 Sarabi, M. Ebrahim
2 Shamsi, Mostafa
2 Shen, Chungen
2 Shi, Ye
2 Sriperumbudur, Bharath K.
2 Surowiec, Thomas
2 Tahanan, Milad
2 Teo, Kok Lay
2 Tuan, Hoang Duong
2 Turinici, Gabriel
2 Walther, Andrea
2 Wu, Qi
2 Yu, Bo
2 Zhang, Lei-Hong
1 Ababneh, Osama Yusuf
1 Acary, Vincent
1 Adam, Lukáš
1 Adler, André Bruce
1 Agoshkov, Valeriĭ Ivanovich
1 Al-Boureeny, Khalid
1 Alart, Pierre
1 Almeida Guimarães, Dilson
1 Alvarez-Vázquez, Lino Jose
1 Amal, R. S.
1 Ameen, Muhsin M.
1 Ameline, Olivier
1 Amstutz, Samuel
1 An, Kaiqi
1 Armand, Paul
1 Aronna, María Soledad
1 Atenas, Felipe
1 Aubertine, Jacob
1 Bajaj, Anuj
1 Baldanzini, Niccolò
1 Bardos, Claude Williams
1 Belloni, Alexandre
1 Ben-Ameur, Walid
1 Berge, V.
1 Bertsekas, Dimitri Panteli
1 Billy, Frédérique
1 Bolte, Jérôme
...and 277 more Authors
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Cited in 89 Serials

15 Mathematical Programming. Series A. Series B
13 Computational Optimization and Applications
10 SIAM Journal on Optimization
9 Journal of Optimization Theory and Applications
7 Computer Methods in Applied Mechanics and Engineering
7 Optimization Methods & Software
7 Set-Valued and Variational Analysis
6 Optimization and Engineering
5 Journal of Computational Physics
5 Journal of Global Optimization
4 Computers & Mathematics with Applications
4 Applied Mathematical Modelling
4 European Journal of Operational Research
3 Inverse Problems
3 Mathematics and Computers in Simulation
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3 Annals of Operations Research
3 Journal of Mathematical Imaging and Vision
3 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
3 Optimization Letters
2 Information Sciences
2 Journal of Computational and Applied Mathematics
2 Applied Numerical Mathematics
2 Computers & Operations Research
2 Asia-Pacific Journal of Operational Research
2 Computational Statistics and Data Analysis
2 Computational and Applied Mathematics
2 International Journal of Theoretical and Applied Finance
2 Journal of Industrial and Management Optimization
2 Izvestiya Irkutskogo Gosudarstvennogo Universiteta. Seriya Matematika
2 EURO Journal on Computational Optimization
2 Universitext
1 Computer Physics Communications
1 Discrete Applied Mathematics
1 Fluid Dynamics
1 Journal of the Franklin Institute
1 Journal of the Mechanics and Physics of Solids
1 Mathematics of Computation
1 Bulletin of Mathematical Biology
1 The Annals of Statistics
1 Applied Mathematics and Computation
1 Applied Mathematics and Optimization
1 BIT
1 Mathematics of Operations Research
1 Numerical Functional Analysis and Optimization
1 Numerische Mathematik
1 SIAM Journal on Numerical Analysis
1 Systems & Control Letters
1 Chinese Annals of Mathematics. Series B
1 Acta Mathematicae Applicatae Sinica. English Series
1 SIAM Journal on Matrix Analysis and Applications
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1 Journal of Parallel and Distributed Computing
1 Machine Learning
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1 M\(^3\)AS. Mathematical Models & Methods in Applied Sciences
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1 Discrete and Continuous Dynamical Systems. Series B
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