G-2021-02
A Julia implementation of Algorithm NCL for constrained optimization
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Algorithm NCL is designed for general smooth optimization problems
where first and second derivatives are available,
including problems whose constraints may not be linearly independent at
a solution (i.e., do not satisfy the LICQ).
It is equivalent to the LANCELOT augmented Lagrangian method,
reformulated as a short sequence of nonlinearly constrained
subproblems that can be solved efficiently by IPOPT and KNITRO, with
warm starts on each subproblem. We give numerical results
from a Julia implementation of Algorithm NCL on tax policy models that do not satisfy the LICQ, and on nonlinear least-squares problems and general problems from the CUTEst test set.
Published January 2021 , 19 pages
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