SOLNP+ README

Basic Introduction

This is C implementation of SOLNP algorithm, which is proposed by Yinyu Ye (1989) and originally implemented in Matlab. Various improvements have been made to increase the robustness and reduce number of function evaluations compared with the original version.

SOLNP+ solves the general derivative-free nonlinear constrained problems of the form:

$$ \begin{aligned} \min_x\ &f(x) \\ \text{s.t.} \ & g(x) = 0, \\ & l_h\leq h(x)\leq u_h, \\ & l_x \leq x \leq u_x, \end{aligned} $$

where $f(x),g(x),h(x)$ are smooth functions.

Getting Started

Currently, SOLNP+ only provides Matlab interface. The user can learn the details of installing and using in SOLNP USER GUIDE.html. The user can choose OSQP solver to solve the QP subproblem.

Developing Team

• Jiyuan Tan Email: [email protected]
• Tianhao Liu Email:[email protected]
• Jinsong Liu Email: [email protected]

Reference

• Ye, Y. (1988). Interior algorithms for linear, quadratic, and linearly constrained convex programming. Stanford University.
• Original source of SOLNP by Professor Ye.
• Stellato, B., Banjac, G., Goulart, P., Bemporad, A., & Boyd, S. (2020). OSQP: An operator splitting solver for quadratic programs. Mathematical Programming Computation, 12(4), 637-672.