qpOASES: a parametric active-set algorithm for quadratic programming
Many practical applications lead to optimization problems that can either be stated as quadratic programming (QP) problems or require the solution of QP problems on a lower algorithmic level. One relatively recent approach to solve QP problems are parametric active-set methods that are based on trac...
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| Hauptverfasser: | , , , |
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| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
30 April 2014
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| In: |
Mathematical programming computation
Year: 2014, Jahrgang: 6, Heft: 4, Pages: 327-363 |
| ISSN: | 1867-2957 |
| DOI: | 10.1007/s12532-014-0071-1 |
| Online-Zugang: | Verlag, Volltext: http://dx.doi.org/10.1007/s12532-014-0071-1 Verlag, Volltext: https://link.springer.com/article/10.1007/s12532-014-0071-1 
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| Verfasserangaben: | Hans Joachim Ferreau, Christian Kirches, Andreas Potschka, Hans Georg Bock, Moritz Diehl |
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| 520 | |a Many practical applications lead to optimization problems that can either be stated as quadratic programming (QP) problems or require the solution of QP problems on a lower algorithmic level. One relatively recent approach to solve QP problems are parametric active-set methods that are based on tracing the solution along a linear homotopy between a QP problem with known solution and the QP problem to be solved. This approach seems to make them particularly suited for applications where a-priori information can be used to speed-up the QP solution or where high solution accuracy is required. In this paper we describe the open-source C++ software package qpOASES, which implements a parametric active-set method in a reliable and efficient way. Numerical tests show that qpOASES can outperform other popular academic and commercial QP solvers on small- to medium-scale convex test examples of the Maros-Mészáros QP collection. Moreover, various interfaces to third-party software packages make it easy to use, even on embedded computer hardware. Finally, we describe how qpOASES can be used to compute critical points of nonconvex QP problems. | ||
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