This work reports the results of evaluating all computer codes submitted to the Seventh DIMACS Implementation Challenge on Semidefinite and Related Optimization Problems. The codes were run on a standard platform and on all the benchmark problems provided by the organizers of the challenge. A total of ten codes were tested on fifty problems in … Read more
We discuss the role of automatic differentiation tools in optimization software. We emphasize issues that are important to large-scale optimization and that have proved useful in the installation of nonlinear solvers in the NEOS Server. Our discussion centers on the computation of the gradient and Hessian matrix for partially separable functions and shows that the … Read more
We consider the solution of Mixed Integer Nonlinear Programming (MINLP) problems by a parallel implementation of nonlinear branch-and-bound on a computational grid or meta-computer. Computational experience on a set of large MINLPs is reported which indicates that this approach is efficient for the solution of large MINLPs. Citation Numerical Analysis Report NA/200, Department of Mathematics, … Read more
We describe algorithms for two-stage stochastic linear programming with recourse and their implementation on a grid computing platform. In particular, we examine serial and asynchronous versions of the L-shaped method and a trust-region method. The parallel platform of choice is the dynamic, heterogeneous, opportunistic platform provided by the Condor system. The algorithms are of master-worker … Read more
We propose performance profiles — probability distribution functions for a performance metric — as a tool for benchmarking and comparing optimization software. We show that performance profiles combine the best features of other tools for performance evaluation. Citation benchmarking, performance, evaluation Article Download View Benchmarking optimization software with performance profiles
A series of numerical experiments with interior point (LOQO, KNITRO) and active-set SQP codes (SNOPT, filterSQP) are reported and analyzed. The tests were performed with small, medium-size and moderately large problems, and are examined by problem classes. Detailed observations on the performance of the codes, and several suggestions on how to improve them are presented. … Read more
Adaptive Simulated Annealing (ASA) is a C-language code developed to statistically find the best global fit of a nonlinear constrained non-convex cost-function over a D-dimensional space. Citation %A L. Ingber %R Global optimization C-code %I Caltech Alumni Association %C Pasadena, CA %T Adaptive Simulated Annealing (ASA) %D 1993 %K 200701 %L Ingber:1993:CODE-ASA %O URL http://www.ingber.com/#ASA-CODE … Read more
Slice models are collections of mathematical programs with the same structure but different data. Examples of slice models appear in Data Envelopment Analysis, where they are used to evaluate efficiency, and cross-validation, where they are used to measure generalization ability. Because they involve multiple programs, slice models tend to be data-intensive and time consuming to … Read more
We define the concept of a computational grid, and describe recent work in solving large and complex optimization problems on this type of platform; in particular, integer programming, the quadratic assignment problem, and stochastic programming problems. This article focuses on work conducted in the metaneos project. Citation Preprint, Mathematics and Computer Science Division, Argonne National … Read more
In this paper we describe iNEOS, an Internet-based environment which facilitates the solution of complex nonlinear optimization problems. It enables a user to easily invoke a remote optimization code without having to supply the model to be optimized. An interactive communication between client and server is established and maintainted using CORBA. We test the system … Read more