User's Guide for SQOPT 5.3: a Fortran Package for Large-Scale Linear and Quadratic Programming

SQOPT is a set of Fortran subroutines for minimizing a convex quadratic function subject to both equality and inequality constraints. (SQOPT may also be used for linear programming and for finding a feasible point for a set of linear equalities and inequalities.) The method of SQOPT is of the two-phase, active-set type, and is related to the method used in the package QPOPT. The method used is most efficient when many constraints or bounds are active at the solution.

SQOPT is primarily intended for (but is not restricted to) large linear and quadratic problems with sparse matrices---i.e., matrices with sufficiently many zero elements to justify storing them implicitly.

SQOPT is part of the SNOPT package for large-scale nonlinearly constrained optimization. SQOPT uses stable numerical methods throughout and includes a reliable basis package (for maintaining sparse LU factors of the basis matrix), a practical anti-degeneracy procedure, and optional automatic scaling of the constraints.

The source code for SQOPT is suitable for all scientific machines with a Fortran 77 compiler. This includes mainframes, workstations and PCs, preferably with 1MB or more of main storage. The source code, test problems and utilities are distributed on diskettes.

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