Optimization techniques for tree-structured nonlinear problems

Jens Hübner (), Martin Schmidt () and Marc C. Steinbach ()
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Jens Hübner: HaCon Ingenieurgesellschaft mbH
Martin Schmidt: Trier University
Marc C. Steinbach: Leibniz Universität Hannover

Computational Management Science, 2020, vol. 17, issue 3, No 4, 409-436

Abstract: Abstract Robust model predictive control approaches and other applications lead to nonlinear optimization problems defined on (scenario) trees. We present structure-preserving Quasi-Newton update formulas as well as structured inertia correction techniques that allow to solve these problems by interior-point methods with specialized KKT solvers for tree-structured optimization problems. The same type of KKT solvers could be used in active-set based SQP methods. The viability of our approach is demonstrated by two robust control problems.

Keywords: Nonlinear stochastic optimization; Interior-point methods; Structured Quasi-Newton updates; Structured inertia correction; Robust model predictive control; 90-08; 90C06; 90C15; 90C30; 90C51 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s10287-020-00362-9

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