Artikel
Optimization techniques for tree-structured nonlinear problems
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.
- Language
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Englisch
- Bibliographic citation
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Journal: Computational Management Science ; ISSN: 1619-6988 ; Volume: 17 ; Year: 2020 ; Issue: 3 ; Pages: 409-436 ; Berlin, Heidelberg: Springer
- Classification
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Wirtschaft
Statistical Simulation Methods: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
Model Construction and Estimation
- Subject
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Nonlinear stochastic optimization
Interior-point methods
Structured Quasi-Newton updates
Structured inertia correction
Robust model predictive control
- Event
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Geistige Schöpfung
- (who)
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Hübner, Jens
Schmidt, Martin
Steinbach, Marc C.
- Event
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Veröffentlichung
- (who)
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Springer
- (where)
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Berlin, Heidelberg
- (when)
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2020
- DOI
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doi:10.1007/s10287-020-00362-9
- Last update
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10.03.2025, 11:45 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Hübner, Jens
- Schmidt, Martin
- Steinbach, Marc C.
- Springer
Time of origin
- 2020
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