Augmented Lagrangian and PANOC solvers for nonconvex numerical optimization.
Project description
alpaqa is an efficient implementation of an augmented Lagrangian method for general nonlinear programming problems, which uses the first-order, matrix-free PANOC algorithm as an inner solver. The numerical algorithms themselves are implemented in C++ for optimal performance, and they are exposed as an easy-to-use Python package.
The solvers in this library solve minimization problems of the following form:
\begin{equation*}
\begin{aligned}
& \underset{x}{\textbf{minimize}}
& & f(x) &&&& f : {{\rm I\mathchoice{\hspace{-2pt}}{\hspace{-2pt}}{\hspace{-1.75pt}}{\hspace{-1.7pt}}R}}^n \rightarrow {{\rm I\mathchoice{\hspace{-2pt}}{\hspace{-2pt}}{\hspace{-1.75pt}}{\hspace{-1.7pt}}R}} \\
& \textbf{subject to}
& & \underline{x} \le x \le \overline{x} \\
&&& \underline{z} \le g(x) \le \overline{z} &&&& g : {{\rm I\mathchoice{\hspace{-2pt}}{\hspace{-2pt}}{\hspace{-1.75pt}}{\hspace{-1.7pt}}R}}^n \rightarrow {{\rm I\mathchoice{\hspace{-2pt}}{\hspace{-2pt}}{\hspace{-1.75pt}}{\hspace{-1.7pt}}R}}^m
\end{aligned}
\end{equation*}
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Installation
The Python interface can be installed directly from PyPI:
python3 -m pip install alpaqa
For more information, please see the full installation instructions.
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