slsqp {nloptr}

Sequential Quadratic Programming (SQP)

Description

Sequential (least-squares) quadratic programming (SQP) algorithm for nonlinearly constrained, gradient-based optimization, supporting both equality and inequality constraints.

Usage

slsqp(
  x0,
  fn,
  gr = NULL,
  lower = NULL,
  upper = NULL,
  hin = NULL,
  hinjac = NULL,
  heq = NULL,
  heqjac = NULL,
  nl.info = FALSE,
  control = list(),
  deprecatedBehavior = TRUE,
  ...
)

Arguments

x0

starting point for searching the optimum.

fn

objective function that is to be minimized.

gr

gradient of function fn; will be calculated numerically if not specified.

lower, upper

lower and upper bound constraints.

hin

function defining the inequality constraints, that is hin <= 0 for all components. This is new behavior in line with the rest of the nloptr arguments. To use the old behavior, please set deprecatedBehavior to TRUE.

hinjac

Jacobian of function hin; will be calculated numerically if not specified.

heq

function defining the equality constraints, that is heq = 0 for all components.

heqjac

Jacobian of function heq; will be calculated numerically if not specified.

nl.info

logical; shall the original NLopt info been shown.

control

list of options, see nl.opts for help.

deprecatedBehavior

logical; if TRUE (default for now), the old behavior of the Jacobian function is used, where the equality is \ge 0 instead of \le 0. This will be reversed in a future release and eventually removed.

...

additional arguments passed to the function.

Details

The algorithm optimizes successive second-order (quadratic/least-squares) approximations of the objective function (via BFGS updates), with first-order (affine) approximations of the constraints.

Value

List with components:

par

the optimal solution found so far.

value

the function value corresponding to par.

iter

number of (outer) iterations, see maxeval.

convergence

integer code indicating successful completion (> 1) or a possible error number (< 0).

message

character string produced by NLopt and giving additional information.

Note

See more infos at https://nlopt.readthedocs.io/en/latest/NLopt_Algorithms/.

Author(s)

Hans W. Borchers

References

Dieter Kraft, “A software package for sequential quadratic programming”, Technical Report DFVLR-FB 88-28, Institut fuer Dynamik der Flugsysteme, Oberpfaffenhofen, July 1988.

See Also

alabama::auglag, Rsolnp::solnp, Rdonlp2::donlp2

Examples

##  Solve the Hock-Schittkowski problem no. 100 with analytic gradients
##  See https://apmonitor.com/wiki/uploads/Apps/hs100.apm

x0.hs100 <- c(1, 2, 0, 4, 0, 1, 1)
fn.hs100 <- function(x) {(x[1] - 10) ^ 2 + 5 * (x[2] - 12) ^ 2 + x[3] ^ 4 +
                         3 * (x[4] - 11) ^ 2 + 10 * x[5] ^ 6 + 7 * x[6] ^ 2 +
                         x[7] ^ 4 - 4 * x[6] * x[7] - 10 * x[6] - 8 * x[7]}

hin.hs100 <- function(x) {c(
2 * x[1] ^ 2 + 3 * x[2] ^ 4 + x[3] + 4 * x[4] ^ 2 + 5 * x[5] - 127,
7 * x[1] + 3 * x[2] + 10 * x[3] ^ 2 + x[4] - x[5] - 282,
23 * x[1] + x[2] ^ 2 + 6 * x[6] ^ 2 - 8 * x[7] - 196,
4 * x[1] ^ 2 + x[2] ^ 2 - 3 * x[1] * x[2] + 2 * x[3] ^ 2 + 5 * x[6] -
 11 * x[7])
}

S <- slsqp(x0.hs100, fn = fn.hs100,   # no gradients and jacobians provided
     hin = hin.hs100,
     nl.info = TRUE,
     control = list(xtol_rel = 1e-8, check_derivatives = TRUE),
     deprecatedBehavior = FALSE)

##  The optimum value of the objective function should be 680.6300573
##  A suitable parameter vector is roughly
##  (2.330, 1.9514, -0.4775, 4.3657, -0.6245, 1.0381, 1.5942)

S