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Implement Basic Optimization Suite #81
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May also want to define some canonical tasks in order to test/benchmark. |
Nealder-Mead is empirically quick but may fail to find a stationary point on some problems. See here---specifically Algorithm 3.2---for information on Generating Set Search (compass search), which I'm implementing for derivative-free deterministic optimization instead. My implementation should use a minimal generating set (n+1 directions, defining a regular simplex in n dimensions) or coordinate search directions (2n sample directions). To accelerate search, periodically rotate the search directions by orienting a primary vector or a la Rosenbrock search (but use Palmer's innovation instead of Gram-Schmidt) respectively. |
For the SQP solver, implement algorithm 18.3 from Nocedal & Wright. For the QP solver, implement algorithm 16.4, solving the linear system using the projected CG algorithm 16.2. |
…ics. Still need to replace linear interpolation path representation with Lagrange interpolation. Partially addresses #81
For Linear Programming, implement interior point method in Ch. 14 of Nocedal and Wright |
…g some time I think that wrapping Gurobi is a better way to handle LP and QP solving. Added Gurobi integration and a test script. Relevant to #81
Tried this, but implementation is too complex to be worthwhile right now. For now, just using Gurobi. |
Linear Programming implemented as wrapper around Gurobi in 7626ce8 |
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