PENOPT
Encyclopedia
PENOPT is an optimization
software package. Its goal is to develop a unified approach to problems of nonlinear programming
and (linear and nonlinear) semidefinite programming
. The solvers are based on a generalized augmented Lagrangian
method combined with the Trust region
algorithm.
The software was developed by Michal Kocvara and Michael Stingl.
Optimization (mathematics)
In mathematics, computational science, or management science, mathematical optimization refers to the selection of a best element from some set of available alternatives....
software package. Its goal is to develop a unified approach to problems of nonlinear programming
Nonlinear programming
In mathematics, nonlinear programming is the process of solving a system of equalities and inequalities, collectively termed constraints, over a set of unknown real variables, along with an objective function to be maximized or minimized, where some of the constraints or the objective function are...
and (linear and nonlinear) semidefinite programming
Semidefinite programming
Semidefinite programming is a subfield of convex optimization concerned with the optimization of a linear objective functionover the intersection of the cone of positive semidefinite matrices with an affine space, i.e., a spectrahedron....
. The solvers are based on a generalized augmented Lagrangian
Augmented Lagrangian method
Augmented Lagrangian methods are a certain class of algorithms for solving constrained optimization problems. They have similarities to penalty methods in that they replace a constrained optimization problem by a series of unconstrained problems; the difference is that the augmented Lagrangian...
method combined with the Trust region
Trust region
Trust region is a term used in mathematical optimization to denote the subset of the region of the objective function to be optimized that is approximated using a model function . If an adequate model of the objective function is found within the trust region then the region is expanded;...
algorithm.
The software was developed by Michal Kocvara and Michael Stingl.