Accession Number : ADA132939
Title : User's Guide for SOL/NPSOL: A Fortran Package for Nonlinear Programming.
Descriptive Note : Technical rept.,
Corporate Author : STANFORD UNIV CA SYSTEMS OPTIMIZATION LAB
Personal Author(s) : Gill,Philip E ; Murray,Walter ; Saunders,Michael A ; Wright,Margaret H
PDF Url : ADA132939
Report Date : Jul 1983
Pagination or Media Count : 42
Abstract : This report forms the user's guide of SOL/NPSOL, a set of Fortran subroutines designed to minimize an arbitrary smooth function subject to constraints, which may include simple bounds on the variables, linear constraints and smooth nonlinear constraints (NPSOL may also be used for uncontrained, bound-constrained and linearly constrained optimization.) The user must provide subroutines that define the objective and constraint functions and their gradients. All matrices are treated as dense, and hence NPSOL is not intended for large sparse problems. NPSOL uses a sequential quadratic programming (SQP) algorithm, in which the search direction is the solution of a quadratic programming (QP) subproblem. The algorithm treats bounds, linear constraints and nonlinear constraints separately. The Hessian of each QP subproblem is a positive-definite quasi-Newton approximation to the Hessian of an augmented Lagrangian function. The steplength at each iteration is required to produce a sufficient decrease in an augmented Lagrangian merit function. Each QP subproblem is solved using a quadratic programming package with several features that improve the efficiency of an SQP algorithm.
Descriptors : *Nonlinear programming, *Programming manuals, *User manuals, Fortran, Subroutines, Algorithms, Quadratic programming, Optimization, Lagrangian Functions, Iterations, Efficiency, Input, Output, Parameters, Problem solving, Errors, Recovery
Subject Categories : Theoretical Mathematics
Computer Programming and Software
Distribution Statement : APPROVED FOR PUBLIC RELEASE