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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.

, 19 pages

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G2102.pdf (700 KB)