Nonlinear Programming Packages

SPENBAR Author Neculai Andrei
Research Institute for Informatics
8-10, Bdl. Maresal Averescu, 71316 Bucharest, Romania
E-mail: nandrei@u3.ici.ro
Language FORTRAN 77
Algorithm Modified Penalty Method
Input Format  
Modeling Languages link  
Commercial Status free (ask the author)
Platform Any machine with a reasonable amount of memory and a Fortran compiler.
Remarks SPENBAR implements a modified penalty algorithm for solving large-scale nonlinear programming problems. It uses only one-dimensional arrays and takes full advantage of the sparsity of the Jacobians of the inequality and equality constraints.
Using a modified penalty method, the original problem is converted into a sequence of unconstrained minimization subproblems. The unconstrained optimization problems are solved by means of a truncated Newton method implemented in subroutine TN by Stephen Nash. The package has a number of parameters which fix the strategy of the optimization, as have been recommended by Andy Conn, Nick Gould and Philippe Toint.
It is based on a version of an implementation given by M.G. Breitfeld - D.F. Shanno and K. Schittkowski.
References
  • Breitfeld, M.G., Shanno, D.F., (1994a) Preliminary computational experience with modified log-barrier functions for large-scale nonlinear programming. in: Hager, W.W., Hearn, D.W., Pardalos, P.M., (1994) Large Scale Optimization, State of the Art. Kluwer Academic Publishers, Dordrecht-Boston-London, 1994, pp.45- 67.
  • Breitfeld, M.G., Shanno, D.F., (1994b) Computational experience with penalty-barrier methods for nonlinear programming. Rutcor Research Report, RRR 17-93, August 1993, Revised March 1994. Rutgers Center for Operations Research, Rutgers University, New Brunswick, New Jersey 08903, March 1994.
  • Breitfeld, M.G., Shanno, D.F., (1994c) A globally convergent penalty-barrier algorithm for nonlinear programming and its computational performance. Rutcor Research Report, RRR 12-94, April 1994, Rutgers Center for Operations Research, Rutgers University, New Brunswick, New Jersey 08903, March 1994.
  • Franz, J., Liepelt, M., Schittkowski, K., Penalty-Barrier-Methods for Nonlinear Optimization: Implementation and Computational Results. Fachgruppe Mathematik, Universitaet Bayreuth, D-95440, Bayreuth, Germany, December 1995.
  • Andrei, N., (1996a) Computational experience with a modified penalty-barrier method for large-scale nonlinear constrained optimization. Working Paper No. AMOL-96-1, Research Institute for Informatics, Bucharest, February 6, 1996
  • Andrei, N., (1996b) Numerical examples with "SPENBAR" for large-scale nonlinear, equality and inequality, constrained optimization with zero columns in Jacobian matrices. Technical Paper No. AMOL-96-5, Research Institute for Informatics, Bucharest, March 29, 1996.
  • Andrei, N., (1998) Penalty-Barrier algorithms for nonlinear optimization. Preliminary computational results. Studies in Informatics and Control, vol.7, no.1, March 1998, pp.15-36.
  • Andrei, N., Advanced Mathematical Programming - Theory, Computational Methods, Applications, ICI Publishing House, 1999 (Chapters 29 and 31), (in Romanian).