Adjoint-based predictor-corrector sequential convex programming for parametric nonlinear optimization

Details Adjoint-based predictor-corrector sequential convex programming for parametric nonlinear optimization Adjoint-based predictor-corrector sequential convex programming for parametric nonlinear optimization

2011-09-13

arxiv.org/abs/1109.2800v1

Mathematics

Optimization and Control

This manuscript consists of 25 pages and 7 figures

Scientific paper

This paper proposes an algorithmic framework for solving parametric optimization problems which we call adjoint-based predictor-corrector sequential convex programming. After presenting the algorithm, we prove a contraction estimate that guarantees the tracking performance of the algorithm. Two variants of this algorithm are investigated. The first one can be used to solve nonlinear programming problems while the second variant is aimed to treat online parametric nonlinear programming problems. The local convergence of these variants is proved. An application to a large-scale benchmark problem that originates from nonlinear model predictive control of a hydro power plant is implemented to examine the performance of the algorithms.

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