[Colloquium] Richard Waltz, University of Southern California- TTI-C Talk

[Julia MacGlashan]

When:             Thursday, April 10, 1:00pm

 

Where:            TTI-C Conference Room

 

Who:                Richard Waltz, University of Southern California

 

Topic:              New Active-Set Algorithms for Large-Scale Nonlinear
Optimization

 

 

Active-set algorithms offer a powerful approach for solving nonlinear
optimization problems. These methods have many advantages over the more
recently popular interior-point methods; most notably the ability to
converge quickly (i.e., "warm start") from an advanced initial point.
However, current active-set methods are unable to scale to large problem
sizes as effectively as interior-point methods, and this significantly
limits their applicability.     

This talk will present new techniques for identifying which inequality
constraints are "active" (i.e., hold as equalities) at the solution of
nonlinear optimization problems.  These techniques, based on solving linear
programming subproblems, allow the active-set estimate to change by many
constraints at once and overcome the bottlenecks of traditional active-set
methods. We also present advances in penalty methods used to relax
constraints in nonlinear optimization models.  These penalty methods are
integrated with our new active-set identification techniques to form a novel
active-set algorithm that outperforms traditional active-set methods on
large-scale nonlinear optimization problems.

 

Contact:          Nathan Srebro, TTI-C         nati at tti-c.org
834-7493

 

-------------- next part --------------
An HTML attachment was scrubbed...
URL: http://mailman.cs.uchicago.edu/pipermail/colloquium/attachments/20080403/522d264c/attachment.html