Optimal sensitivity based on IPOPT

  • We introduce a flexible, open source implementation that provides the optimal sensitivity of solutions of nonlinear programming (NLP) problems, and is adapted to a fast solver based on a barrier NLP method. The program, called sIPOPT evaluates the sensitivity of the Karush–Kuhn–Tucker (KKT) system with respect to perturbation parameters. It is paired with the open-source IPOPT NLP solver and reuses matrix factorizations from the solver, so that sensitivities to parameters are determined with minimal computational cost. Aside from estimating sensitivities for parametric NLPs, the program provides approximate NLP solutions for nonlinear model predictive control and state estimation. These are enabled by pre-factored KKT matrices and a fix-relax strategy based on Schur complements. In addition, reduced Hessians are obtained at minimal cost and these are particularly effective to approximate covariance matrices in parameter and state estimation problems. The sIPOPT program is demonstrated on four case studies to illustrate all of these features.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Hans Pirnay, Rodrigo López-Negrete, Lorenz T. Biegler
DOI:https://doi.org/10.1007/s12532-012-0043-2
ISSN:1867-2949
Parent Title (English):Mathematical Programming Computation
Publisher:Springer Science and Business Media LLC
Document Type:Article
Language:English
Year of Completion:2012
Tag:Software
Volume:4
Issue:4
Page Number:25
First Page:307
Last Page:331
Mathematical Programming Computation :MPC 2012 - Issue 4
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.