Seminars & Events

Mathematics and Computer Science Seminar
"Recent Work in Second-derivative Sequential Quadratic Programming Methods"

DATE: January 15, 2010
TIME: 10:30 AM - 12:00 AM
SPEAKER: Daniel Robinson, University of Oxford
LOCATION: Bldg: 240, Conference Rooms 1404 and 1405, Argonne National Laboratory
HOST: Mihai Anitescu

Description:
Dan will present S2QP: a second-derivative sequential quadratic programming (SQP) method. The method is based on the S$\ell_1$QP method by Fletcher and is thus based on minimizing the $\ell_1$ exact penalty function. The key contribution (improvement), however, is that every subproblem is either convex and may be solved efficiently, or need not be solved globally. Dan will present limited numerical results from the CUTEr test set, which indicate that S2QP is at least capable of solving (efficiently) some large problems consisting of 10,000-100,000 variables/constraints.

In the last part of the talk, Dan will briefly consider future research.

This includes the future of S2QP, the formulation of a new trust-funnel algorithm, development of enriched multi-level recursive optimization, and the development of a regularized SQP method based on a new primal-dual augmented Lagrangian merit function.

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