Algorithm NCL is designed for general smooth optimization problems where first and second derivatives are available, including problems whose constraints may not be linearly independent at a solution (i.e., do not satisfy the LICQ). It is equivalent to the LANCELOT augmented Lagrangian method, reformulated as a short sequence of nonlinearly constrained subproblems that can be solved efficiently by IPOPT and KNITRO, with warm starts on each subproblem. We give numerical results from a Julia implementation of Algorithm NCL on tax policy models that do not satisfy the LICQ, and on nonlinear least-squares problems and general problems from the CUTEst test set.
@article{arxiv.2101.02164,
title = {A Julia implementation of Algorithm NCL for constrained optimization},
author = {Ding Ma and Dominique Orban and Michael A. Saunders},
journal= {arXiv preprint arXiv:2101.02164},
year = {2021}
}