Michael P. Friedlander, Sven Leyffer
Abstract. We present a two-phase algorithm for solving large-scale quadratic programs (QPs). In the first phase, gradient-projection iterations approximately minimize a bound-constrained augmented...
Kumar Abhishek, Sven Leyffer, Jeffrey T. Linderoth
1.1 LP/NLP-based Branch and Bound...................... 3 1.2 Implementation within the MINTO Framework............... 7
2.2 Model I: Basic Model.................................... 6 (2008)
Donald A. Hanson, Yaroslav Kryukov, Sven Leyffer, Todd S. Munson
Hans Skrifvars, Sven Leyffer, Tapio Westerlund
The maximum likelihood method is frequently used in parameter estimation. If the structure of the model is unknown, the maximization of the likelihood function can be replaced by minimizing an...
Computing sparse Hessian and Jacobian (2007)
Roger Fletcher, Andreas Grothey, Sven Leyffer
approximations with optimal hereditary properties
A Filter Active-Set Trust-Region Method (2007)
Michael P. Friedl, Sven Leyffer, Todd S. Munson
2.1 Sequential Linear-Quadratic Programming Methods.............. 3 2.2 Difficulties with the LP/TR Step Computation................ 4
A Brief History of Filter Methods (2007)
Luís N. Vicente, Andreas Wächter, Roger Fletcher, Sven Leyffer
Kumar Abhishek, Sven Leyffer, Jeffrey T. Linderoth
1.1 LP/NLP-based Branch and Bound...................... 4 1.2 Implementation within the MINTO Framework............... 6
of Energy, under Contract W-31-109-ENG-38. The Return of the Active Set Method ∗ (2005)
For solving nonlinear optimization problems, two competing iterative approaches are available: active set methods and interior-point methods. Current implementations of interior methods often...
and not the sponsoring agency. Solving Multi-Leader-Follower Games ∗ (2005)
Sven Leyffer, Todd Munson, Sven Leyffer, Todd Munson
Multi-leader-follower games arise when modeling competition between two or more dominant firms and lead in a natural way to equilibrium problems with equilibrium constraints (EPECs). We examine a...
A note on multiobjective optimization and complementarity constraints (2005)
We propose a new approach to convex nonlinear multiobjective optimization that captures the geometry of the Pareto set by generating a discrete set of Pareto points optimally. We show that the...
2. Classical Solution Methods (2005)
Sven Leyffer, Jeff Linderoth, Linderoth Minlp, Linderoth Minlp, Linderoth Minlp
NLP Leyffer & Linderoth MINLP
On the Global Minimization of the Value-at-Risk (2004)
In this paper, we consider the nonconvex minimization problem of the value-at-risk (VaR) that arises from financial risk analysis. By considering this problem as a special linear program with linear...
A trust-region algorithm for global optimization (2004)
Bernardetta Addis, Sven Leyffer
We consider the global minimization of a bound-constrained function with a so-called funnel structure. We develop a two-phase procedure that uses sampling, local optimization, and Gaussian smoothing...
Interior methods for mathematical programs with complementarity constraints (2004)
Sven Leyffer, Gabriel López-calva, Jorge Nocedal
This paper studies theoretical and practical properties of interior-penalty methods for mathematical programs with complementarity constraints. A framework for implementing these methods is...
Leader-follower equilibria for electric power and NOx allowances markets (2004)
Yihsu Chen, Benjamin F. Hobbs, Sven Leyffer, Todd S. Munson, Yihsu Chen, Benjamin F. Hobbs, ...
This paper investigates the ability of the largest producer in an electricity market to manipulate both the electricity and emission allowances markets to its advantage. A Stackelberg game to analyze...
Leader-follower equilibria for electric power and NOx allowances markets (2004)
Yihsu Chen, Benjamin F. Hobbs, Sven Leyffer, Todd S. Munson, Yihsu Chen, Benjamin F. Hobbs, ...
This paper investigates the ability of the largest producer in an electricity market to manipulate both the electricity and emission allowances markets to its advantage. A Stackelberg game to analyze...
Interior methods for mathematical programs with complementarity constraints (2004)
Sven Leyffer, Gabriel López-calva, Jorge Nocedal
This paper studies theoretical and practical properties of interior-penalty methods for mathematical programs with complementarity constraints. A framework for implementing these methods is...
Penalty Interior-Point Method Fails to Converge (2003)
Equilibrium equations in the form of complementarity conditions often appear as constraints in optimization problems. Problems of this type are commonly referred to as mathematical programs with...
Complementarity constraints as nonlinear equations: Theory and numerical experience (2003)
Recently, it has been shown that mathematical programs with complementarity constraints (MPCCs) can be solved efficiently and reliably as nonlinear programs. This paper examines various nonlinear...
A Multidimensional Filter Algorithm for Nonlinear Equations and Nonlinear Least Squares (2003)
Sven Leyffer, Philippe L. Toint
We introduce a new algorithm for the solution of systems of nonlinear equations and nonlinear least-squares problems that attempts to combine the eciency of lter techniques and the robustness of...
Equilibrium equations in the form of complementarity conditions often appear as constraints in optimization problems. Problems of this type are commonly referred to as mathematical programs with...
Numerical experience with solving MPECs as NLPs (2002)
This paper describes numerical experience with solving MPECs as NLPs on a large collection of test problems. The key idea is to use off-the-shelf NLP solvers to tackle large instances of MPECs. It is...
Local convergence of SQP methods for Mathematical Programs with Equilibrium Constraints (2002)
Roger Fletcher, Sven Leyffer, Danny Ralph, Stefan Scholtes
Recently, it has been shown that Nonlinear Programming solvers can successfully solve a range of Mathematical Programs with Equilibrium Constraints (MPECs).
User manual for filterSQP (1999)
Roger Fletcher, Roger Fletcher, Sven Leyffer, Sven Leyffer
This paper describes a software package for the solution of Nonlinear Programming (NLP) problems. The package implements a Sequential Quadratic Programming solver with a "filter" to promote...
Global Convergence of Trust-Region SQP-Filter Algorithms for General Nonlinear Programming (1999)
Roger Fletcher, Sven Leyffer, Philippe L. Toint
Global convergence to first-order critical points is proved for two trust-region SQP-filter algorithms of the type introduced by Fletcher and Leyffer (1997). The algorithms allow for an approximate...
Integrating SQP and branch-and-bound for Mixed Integer Nonlinear Programming (1998)
This paper considers the solution of Mixed Integer Nonlinear Programming (MINLP) problems. Classical methods for the solution of MINLP problems decompose the problem by separating the nonlinear part...
On the Global Convergence of an SLP-Filter Algorithm (1998)
Roger Fletcher, Sven Leyffer, Philippe L. Toint
A mechanism for proving global convergence in filter-type methods for nonlinear programming is described. Such methods are characterized by their use of the dominance concept of multiobjective...
Nonlinear Programming without a penalty function (1998)
In this paper the solution of nonlinear programming problems by a Sequential Quadratic Programming (SQP) trust--region algorithm is considered. The aim of the present work is to promote global...
On the Global Convergence of an SLP-Filter Algorithm (1998)
Roger Fletcher, Sven Leyffer, Philippe L. Toint
A mechanism for proving global convergence in filter-type methods for nonlinear programming is described. Such methods are characterized by their use of the dominance concept of multiobjective...
User manual for filterSQP (1998)
Roger Fletcher, Sven Leyffer, Roger Fletcher, Sven Leyffer
This paper describes a software package for the solution of Nonlinear Programming (NLP) problems. The package implements a Sequential Quadratic Programming solver with a “filter ” to promote...
Solving Mixed Integer Nonlinear Programs by Outer Approximation (1996)
A wide range of optimization problems arising from engineering applications can be formulated as Mixed Integer NonLinear Programmming problems (MINLPs). Duran and Grossmann (1986) suggest an outer...
Computing sparse Hessian and Jacobian approximations with optimal hereditary properties (1996)
Roger Fletcher, Andreas Grothey, Sven Leyffer
In nonlinear optimization it is often important to estimate large sparse Hessian or Jacobian matrices, to be used for example in a trust region method. We propose an algorithm for computing a matrix...
Numerical experience with lower bounds for MIQP branch-and-bound (1995)
The solution of convex Mixed Integer Quadratic Programming (MIQP) problems with a general branch--and--bound framework is considered. It is shown how lower bounds can be computed efficiently during...
Leader-Follower Equilibria for Electric Power and NO x Allowances Markets
Yihsu Chen, Benjamin Hobbs, Sven Leyffer, Todd Munson
Mathematical programs with equilibrium constraints (MPEC), Game theory (Stackelberg game), Economic market modelling, Optimization algorithm, Electric power, 91B26 Market Model,
An Optimal Control Model of Technology Transition
Donald A. Hanson, Yaroslav Kryukov, Sven Leyffer, Todd S. Munson
This paper discusses the use of optimization software to solve an optimal control problem arising in the modeling of technology transition. We set up a series of increasingly complex models with such...