[Colloquium] Richard Waltz, University of Southern California- TTI-C Talk
Julia MacGlashan
macglashan at tti-c.org
Thu Apr 3 11:14:37 CDT 2008
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
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