This paper develops solution strategies for large-scale nonsmooth optimization problems. We transform nonsmooth programs into equivalent mathematical programs with complementarity constraints (MPCCs), and then employ NLP-based strategies for their so- lution. For this purpose, two NLP formulations based on complementarity relaxations are put forward, one of which applies a parameterized formulation and operates with a … Read more
We present an extension of the CasADi numerical optimization framework that allows arbitrary order NLP sensitivities to be calculated automatically and efficiently. The approach, which can be used together with any NLP solver available in CasADi, is based on a sparse QR factorization and an implementation of a primal-dual active set method. The whole toolchain … Read more
We discuss a tightly feasible mixed-integer linear programs arising in the energy industry, for which branch-and-bound appears to be ineffective. We consider its hardness, measure the probability that randomly generated instances are feasible or almost feasible, and introduce heuristic solution methods based on relaxing different constraints of the problem. We show the computational efficiency of … Read more