Adjoint-based predictor-corrector sequential convex programming for parametric nonlinear optimization

DOI10.1137/110844349MaRDI QIDQ4915166zbMATHOpenAlexFDO

Authors Quoc Tran Dinh, Carlo Savorgnan, Moritz Diehl

Publication date 9 April 2013

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1109.2800

zbMATH Keywords

sequential convex programmingparametric nonlinear programmingadjoint-based optimizationpredictor-corrector path-following approach

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Nonlinear programming (90C30) Numerical methods based on nonlinear programming (49M37) Sensitivity, stability, parametric optimization (90C31)

Abstract: This paper proposes an algorithmic framework for solving parametric optimization problems which we call adjoint-based predictor-corrector sequential convex programming. After presenting the algorithm, we prove a contraction estimate that guarantees the tracking performance of the algorithm. Two variants of this algorithm are investigated. The first one can be used to solve nonlinear programming problems while the second variant is aimed to treat online parametric nonlinear programming problems. The local convergence of these variants is proved. An application to a large-scale benchmark problem that originates from nonlinear model predictive control of a hydro power plant is implemented to examine the performance of the algorithms.

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Cited in

(11)

• Autogenerating microsecond solvers for nonlinear MPC: a tutorial using ACADO integrators
• Pathfollowing for parametric mathematical programs with complementarity constraints
• Discrete-time Euler-smoothing methods for time-varying convex constrained optimization
• Adjoint-based SQP method with block-wise quasi-Newton Jacobian updates for nonlinear optimal control
• A Predictor-Corrector Path-Following Algorithm for Dual-Degenerate Parametric Optimization Problems
• Multi-level iterations for economic nonlinear model predictive control
• Multiple shooting in a microsecond
• Time-distributed optimization for real-time model predictive control: stability, robustness, and constraint satisfaction
• Time-Varying Semidefinite Programming: Path Following a Burer–Monteiro Factorization
• Sequential quadratic programming methods for parametric nonlinear optimization
• Nonlinear model predictive control with aggregated constraints

Describes a project that uses

Uses Software

• SDPT3
• NewtonLib

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