MPC

MPC 2014, ISSUE 4



Mathematical Programming Computation, Volume 6, Issue 4, December 2014

qpOASES: a parametric active-set algorithm for quadratic programming

Hans Joachim Ferreau, Christian Kirches, Andreas Potschka, Hans Georg Bock, Moritz Diehl

Many practical applications lead to optimization problems that can either be stated as quadratic programming (QP) problems or require the solution ofQP problems on a lower algorithmic level. One relatively recent approach to solve QP problems are parametric active-set methods that are based on tracing the solution along a linear homotopy between a QP problem with known solution and the QP problem to be solved. This approach seems to make them particularly suited for applications where a-priori information can be used to speed-up the QP solution or where high solution accuracy is required. In this paper we describe the open-source C++ software package qpOASES,which implements a parametric active-setmethod in a reliable and efficient way. Numerical tests show that qpOASES can outperform other popular academic and commercial QP solvers on small- to medium-scale convex test examples of theMaros-Mészáros QP collection. Moreover, various interfaces to third-party software packages make it easy to use, even on embedded computer hardware. Finally, we describe how qpOASES can be used to compute critical points of nonconvex QP problems.

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Mathematical Programming Computation, Volume 6, Issue 4, December 2014

Branch-and-cut for complementarity-constrained optimization

Ismael R. de Farias Jr., Ernee Kozyreff, Ming Zhao

We report and analyze the results of our computational testing of branch-and-cut for the complementarity-constrained optimization problem (CCOP). Besides theMIP cuts commonly present in commercial optimization software,weused inequalities that explore complementarity constraints. To do so,we generalized two families of cuts proposed earlier by de Farias, Johnson, and Nemhauser that had never been tested computationally. Our test problems consisted of linear, binary, and general integer programs with complementarity constraints. Our results on the use of complementarity cuts within a major commercial optimization solver show that they are of critical importance to tackling difficult CCOP instances, typically reducing the computational time required to solve them tremendously.

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Mathematical Programming Computation, Volume 6, Issue 4, December 2014

Using symmetry to optimize over the Sherali–Adams relaxation

James Ostrowski

In this paper we examine the impact of using the Sherali–Adams procedure on highly symmetric integer programming problems. Linear relaxations of the extended formulations generated by Sherali–Adams can be very large, containing O ((n,d)) many variables for the level-d closure. When large amounts of symmetry are present in the problem instance however, the symmetry can be used to generate a much smaller linear program that has an identical objective value. We demonstrate this by computing the bound associated with the level 1, 2, and 3 relaxations of several highly symmetric binary integer programming problems. We also present a class of constraints, called counting constraints, that further improves the bound, and in some cases provides a tight formulation. A major advantage of the Sherali–Adams formulation over the traditional formulation is that symmetry-breaking constraints can be more efficiently implemented. We show that using the Sherali–Adams formulation in conjunction with the symmetry breaking tool isomorphism pruning can lead to the pruning of more nodes early on in the branch-and-bound process.

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