SNOPT - Sparse NOnlinear OPTimizer

SNOPT is a sparse nonlinear optimizer that is particularly useful for solving large-scale constrained problems with smooth objective functions and constraints. The algorithm consists of a sequential quadratic programming (SQP) algorithm that uses a smooth augmented Lagrangian merit function, while making explicit provision for infeasibility in the original problem and in the quadratic programming subproblems. The Hessian of the Lagrangian is approximated using a limited-memory quasi-Newton method. [Gill2002] [LICENSE]

class pySNOPT.SNOPT(pll_type=None, *args, **kwargs)

Bases: pyOpt.pyOpt_optimizer.Optimizer

SNOPT Optimizer Class - Inherited from Optimizer Abstract Class

SNOPT 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, disp_opts=False, store_hst=False, hot_start=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: Feb. 2, 2011 - Peter W. Jansen

Optimizer Options

Name	Type	Default Value	Notes
Major print level	int	1	Majors Print (1 - line major iteration log)
Minor print level	int	1	Minors Print (1 - line minor iteration log)
Print file	str	‘SNOPT_print.out’	Print File Name (specified by subroutine snInit)
iPrint	int	18	Print File Output Unit
Summary file	str	‘SNOPT_summary.out’	Summary File Name (specified by subroutine snInit)
iSumm	int	19	Summary File Output Unit
Print frequency	int	100	Minors Log Frequency on Print File
Summary frequency	int	100	Minors Log Frequency on Summary File
Solution	str	‘Yes’	Print Solution on the Print File
Suppress options listing	type(None)	None	options are normally listed
System information	str	‘No’	Print System Information on the Print File
Problem Type	str	‘Minimize’	Alternatives ‘Maximize’, ‘Feasible point’
Objective row	int	1	has precedence over ObjRow (snOptA)
Infinite bound	float	1.0e+20	Infinite Bound Value
Major feasibility tolerance	float	1.0e-6	Target Nonlinear Constraint Violation
Major optimality tolerance	float	1.0e-6	Target Complementarity Gap
Minor feasibility tolerance	float	1.0e-6	For Satisfying the QP Bounds
Verify level	int	0	Gradients Check Flag
Scale option	int	1	Scaling (1 - linear constraints and variables)
Scale tolerance	float	0.9	Scaling Tolerance
Scale Print	type(None)	None	Default: scales are not printed
Crash tolerance	float	0.1
Linesearch tolerance	float	0.9	smaller for more accurate search
Pivot tolerance	float	3.7e-11	epsilon^{2/3}
QPSolver	str	‘Cholesky’	Default: Cholesky
Crash option	int	3	3 - first basis is essentially triangular
Elastic mode	str	‘No’	start with elastic mode until necessary
Elastic weight	float	1.0e+4	used only during elastic mode
Iterations limit	int	10000	or 20*ncons if that is more
Partial price	int	1	10 for large LPs
Start	str	‘Cold’	has precedence over argument start
Major iterations limit	int	1000	or ncons if that is more
Minor iterations limit	int	500	or 3*ncons if that is more
Major step limit	float	2.0
Superbasics limit	int	None	n1 + 1, n1 = number of nonlinear variables
Derivative level	int	3	NOT ALLOWED IN snOptA
Derivative option	int	1	ONLY FOR snOptA
Derivative linesearch	type(None)	None
Nonderivative linesearch	type(None)	None
Function precision	float	3.0e-13	epsilon^0.8 (almost full accuracy)
Difference interval	float	5.5e-7	Function precision^(1/2)
Central difference interval	float	6.7e-5	Function precision^(1/3)
New superbasics limit	int	99	controls early termination of QPs
Objective row	int	1	row number of objective in F(x)
Penalty parameter	float	0.0	initial penalty parameter
Proximal point method	int	1	1 - satisfies linear constraints near x0
Reduced Hessian dimension	int	2000	or Superbasics limit if that is less
Violation limit	int	10.0	unscaled constraint violation limit
Unbounded step size	float	1.0e+18
Unbounded objective	float	1.0e+15
Hessian full memory	type(None)	None	default if n1 <= 75
Hessian limited memory	type(None)	None	default if n1 > 75
Hessian frequency	int	999999	for full Hessian (never reset)
Hessian updates	int	10	for limited memory Hessian
Hessian flush	int	999999	no flushing
Check frequency	int	60	test row residuals l2norm(Ax - sk)
Expand frequency	int	10000	for anti-cycling procedure
Factorization frequency	int	50	100 for LPs
Save frequency	int	100	save basis map
LU factor tolerance	float	3.99	for NP (100.0 for LP)
LU update tolerance	float	3.99	for NP ( 10.0 for LP)
LU singularity tolerance	float	3.2e-11
LU partial pivoting	type(None)	None	default threshold pivoting strategy
LU rook pivoting	type(None)	None	threshold rook pivoting
LU complete pivoting	type(None)	None	threshold complete pivoting
Old basis file	int	0	input basis map
New basis file	int	0	output basis map
Backup basis file	int	0	output extra basis map
Insert file	int	0	input in industry format
Punch file	int	0	output Insert data
Load file	int	0	input names and values
Dump file	int	0	output Load data
Solution file	int	0	different from printed solution
Total character workspace	int	500	lencw: 500
Total integer workspace	int	None	leniw: 500 + 100 * (m+n)
Total real workspace	int	None	lenrw: 500 + 200 * (m+n)
User character workspace	int	500
User integer workspace	int	500
User real workspace	int	500
Debug level	int	0	0 - Normal, 1 - for developers
Timing level	int	3	3 - print cpu times