PSQP - Preconditioned Sequential Quadratic Programming

This optimizer implements a sequential quadratic programming method with a BFGS variable metric update. [LICENSE]

class pyPSQP.PSQP(pll_type=None, *args, **kwargs)

Bases: pyOpt.pyOpt_optimizer.Optimizer

PSQP Optimizer Class - Inherited from Optimizer Abstract Class

PSQP Optimizer Class Initialization

Keyword arguments:

• pll_type -> STR: Parallel Implementation (None, ‘POA’-Parallel Objective Analysis), Default = None

Documentation last updated: Feb. 16, 2010 - Peter W. Jansen

__solve__(opt_problem={}, sens_type='FD', store_sol=True, store_hst=False, hot_start=False, disp_opts=False, sens_mode='', sens_step={}, *args, **kwargs)

Run Optimizer (Optimize Routine)

Keyword arguments:

• opt_problem -> INST: Optimization instance
• sens_type -> STR/FUNC: Gradient type, Default = ‘FD’
• store_sol -> BOOL: Store solution in Optimization class flag, Default = True
• disp_opts -> BOOL: Flag to display options in solution text, Default = False
• store_hst -> BOOL/STR: Flag/filename to store optimization history, Default = False
• hot_start -> BOOL/STR: Flag/filename to read optimization history, Default = False
• sens_mode -> STR: Flag for parallel gradient calculation, Default = ‘’
• sens_step -> FLOAT: Sensitivity setp size, Default = {} [corresponds to 1e-6 (FD), 1e-20(CS)]

Additional arguments and keyword arguments are passed to the objective function call.

Documentation last updated: February. 2, 2011 - Ruben E. Perez

Optimizer Options

Name	Type	Default Value	Notes
XMAX	float	1e16	Maximum Stepsize
TOLX	float	1e-16	Variable Change Tolerance
TOLC	float	1e-6	Constraint Violation Tolerance
TOLG	float	1e-6	Lagrangian Gradient Tolerance
RPF	float	1e-4	Penalty Coefficient
MIT	int	1000	Maximum Number of Iterations
MFV	int	2000	Maximum Number of Function Evaluations
MET	int	2	Variable Metric Update (1 - BFGS, 2 - Hoshino)
MEC	int	2	Negative Curvature Correction (1-None, 2-Powell’s Correction)
IPRINT	int	2	Output Level (0 - None, 1 - Final, 2 - Iter)
IOUT	int	6	Output Unit Number
IFILE	str	‘PSQP.out’	Output File Name