NLPQL

NLPQL algorithm

NLPQL is the implementation of a sequential quadratic programming (SQP) algorithm. SQP is a standard method, based on the use of a gradient of objective functions and constraints to solve a non-linear optimization problem. This method works well provided that:

• The problem is not too large.

• Functions and gradients can be evaluated with sufficiently high precision.

• The problem is smooth and well scaled.

As NLPQL uses gradients, discrete parameters are excluded from such a method.

A characteristic of the method is that it stops as soon as it finds a local minimum. Thus, the result you obtain may be highly dependent on the starting point you give to the algorithm.