A unconstrained optimization solver and a constrained optimization sovler
Built a unconstrained optimization solver:
- Implement steepest descent algorithm, Newton's method and quasi-Newton's methods including Broyden family and Alternate Broyden family.
Implemented different line search algorithm including Armijo’s rule, dichotomous search, bisection search, Fibonacci search, golden search.
Built a constrained optimization solver:
- Implemented barrier method, penalty method, augmented Lagrangian method, and successive quadratic programming (SQP) including rudimentary SQP (RSQP), SQP-BFGS, merit SQP (MSQP).