SOLNP+: A Derivative-Free Solver for Constrained Nonlinear Optimization

Authors Dongdong Ge, Tianhao Liu, Jinsong Liu, Jiyuan Tan, Yinyu Ye

Publication date 13 October 2022

Has companion code repository https://github.com/copt-public/solnp_plus

Nonlinear programming (90C30) Derivative-free methods and methods using generalized derivatives (90C56)

Abstract: SOLNP+ is a derivative-free solver for constrained nonlinear optimization. It starts from SOLNP proposed in 1989 by Ye Ye with the main idea that uses finite difference to approximate the gradient. We incorporate the techniques of implicit filtering, new restart mechanism and modern quadratic programming solver into this new version with an ANSI C implementation. The algorithm exhibits a great advantage in running time and robustness under noise compared with the last version by MATLAB. SOLNP+ is free to download at https://github.com/COPT-Public/SOLNP_plus.

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