Session: Recent advances in open-source continuous solvers
Chair: Charlie Vanaret
Cluster: Computational Software
Talk 1: A new parallel interior point solver for HiGHS
Speaker: Filippo Zanetti
Abstract: HiGHS is open-source software for linear, mixed-integer and quadratic optimization. It includes an interior point method based on an iterative Krylov solver, that has attracted much attention, in particular from the energy modelling community. In this talk, the latest news on the development of a new interior point solver, based on a direct factorization, are presented. The talk discusses multiple approaches that have been considered and highlights the improvements compared to the existing solver. Issues regarding regularization, accuracy, dealing with dense columns and parallelization are also mentioned.
Talk 2: Uno, a modern Lagrange-Newton solver for nonconvex constrained optimization
Speaker: Charlie Vanaret
Abstract: Derivative-based iterative methods for nonlinearly constrained nonconvex optimization usually share common algorithmic components, such as strategies for computing a descent direction and mechanisms that promote global convergence. Based on this observation, we introduce an abstract framework with eight building blocks that describes most derivative-based iterative methods and unifies their workflows. We then present Uno, a Lagrange-Newton solver that implements our abstract framework and allows the automatic generation of various strategy combinations with no programming effort from the user. Uno is meant to (1) organize mathematical optimization strategies into a coherent hierarchy; (2) offer a wide range of efficient and robust methods that can be compared for a given instance; (3) reduce the cost of development and maintenance of multiple optimization solvers; and (4) enable researchers to experiment with novel optimization strategies while leveraging established subproblem solvers and interfaces to modeling languages. We demonstrate that Uno is highly competitive against state-of-the-art solvers such as filterSQP, IPOPT, SNOPT, MINOS, LANCELOT, LOQO and CONOPT. Uno is available as open-source software under the MIT license at https://github.com/cvanaret/Uno
Talk 3: Solving Direct Optimal Control Problems in Real-Time: A Byrd-Omojokun Funnel Solver for acados
Speaker: David Kiessling
Abstract: We present a nonlinear optimization SQP-type method within the acados software framework for solving direct optimal control in real time. acados is a versatile software framework that implements fast solvers exploiting the specific optimal control problem structure using tailored linear algebra and numerical integration methods. This talk focuses on a novel SQP implementation using a funnel to drive global convergence. We present a novel implementation of a Byrd-Omojokun method avoiding infeasible subproblems. Additionally, we will present numerical results comparing our solver against other state-of-the art optimization solvers.
