MISQP: A Fortran Implementation of
a Trust Rregion SQP Algorithm for Mixed-Integer Nonlinear
Programming
- User's Guide
O. Exler,
T. Lehmann, K. Schittkowski, Report, Department of Computer Science, University of Bayreuth (2009)
Abstract:
The Fortran subroutine MISQP solves mixed-integer nonlinear programming problems
by a modified sequential quadratic programming (SQP) method. Under the
assumption that integer variables have a smooth influence on the model
functions, i.e., that function values do not change drastically when in- or
decrementing an integer value, successive quadratic approximations are applied.
The algorithm is stabilized by a trust region method with Yuan's second order
corrections. It is not assumed that the mixed-integer program is relaxable. In
other words, function values can be evaluated only at integer points. The
Hessian of the Lagrangian function is approximated by BFGS updates subject to
the continuous and diagonal second order information subject to the integer
variables. Numerical results are presented for the continuous case to compare
the performance with a standard SQP solver, and for a set of more than 50 mixed
integer test problems taken from the literature. The usage of the code is
documented and illustrated by an example.
To download the report, click here: misqp.pdf
(Acrobat Reader version)