SOLNP+: A Derivative-Free Solver for Constrained Nonlinear Optimization
Abstract
SOLNP+ is a derivative-free solver for constrained nonlinear optimization. It starts from SOLNP proposed in 1989 by Ye Ye with the main idea that uses finite difference to approximate the gradient. We incorporate the techniques of implicit filtering, new restart mechanism and modern quadratic programming solver into this new version with an ANSI C implementation. The algorithm exhibits a great advantage in running time and robustness under noise compared with the last version by MATLAB. SOLNP+ is free to download at https://github.com/COPT-Public/SOLNPplus.
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