SNOPT: An SQP algorithm for large-scale constrained optimization. Sequential quadratic programming (SQP) methods have proved highly effective for solving constrained optimization problems with smooth nonlinear functions in the objective and constraints. Here we consider problems with general inequality constraints (linear and nonlinear). We assume that first derivatives are available and that the constraint gradients are sparse. We discuss an SQP algorithm that uses a smooth augmented Lagrangian merit function and makes explicit provision for infeasibility in the original problem and the QP subproblems. SNOPT is a particular implementation that makes use of a semidefinite QP solver. It is based on a limited-memory quasi-Newton approximation to the Hessian of the Lagrangian and uses a reduced-Hessian algorithm (SQOPT) for solving the QP subproblems. It is designed for problems with many thousands of constraints and variables but a moderate number of degrees of freedom (say, up to 2000). An important application is to trajectory optimization in the aerospace industry. Numerical results are given for most problems in the CUTE and COPS test collections (about 900 examples).

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  1. Andersson, Joel A. E.; Gillis, Joris; Horn, Greg; Rawlings, James B.; Diehl, Moritz: CasADi: a software framework for nonlinear optimization and optimal control (2019)
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  11. López, C. O.; Beasley, J. E.: Packing a fixed number of identical circles in a circular container with circular prohibited areas (2019)
  12. Pang, Liping; Xu, Na; Lv, Jian: The inexact log-exponential regularization method for mathematical programs with vertical complementarity constraints (2019)
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  14. Schewe, Lars; Schmidt, Martin: Computing feasible points for binary MINLPs with MPECs (2019)
  15. Wang, Guoqiang; Yu, Bo: PAL-Hom method for QP and an application to LP (2019)
  16. Williams, Nakeya D.; Mehlsen, Jesper; Tran, Hien T.; Olufsen, Mette S.: An optimal control approach for blood pressure regulation during head-up tilt (2019)
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  18. Bock, Hans Georg; Kirches, Christian; Meyer, Andreas; Potschka, Andreas: Numerical solution of optimal control problems with explicit and implicit switches (2018)
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