DRSOM.jl: A Second-Order Optimization Package for Nonlinear Programming

DRSOM.jl is a Julia implementation of a few second-order optimization methods for nonlinear optimization.

DRSOM.jl now includes a bunch of other algorithms, beyond the original DRSOM:

• Dimension-Reduced Second-Order Method (DRSOM)
• Homogeneous Second-order Descent Method (HSODM).
• Homotopy Path-Following HSODM (PFH)
• Universal Trust-Region Method (UTR)

Reference

You are welcome to cite our papers : )

1.  Zhang, C., Ge, D., He, C., Jiang, B., Jiang, Y., Ye, Y.: DRSOM: A Dimension Reduced Second-Order Method, http://arxiv.org/abs/2208.00208, (2022)
2.  Zhang, C., Ge, D., He, C., Jiang, B., Jiang, Y., Xue, C., Ye, Y.: A Homogeneous Second-Order Descent Method for Nonconvex Optimization, http://arxiv.org/abs/2211.08212, (2022)
3.  He, C., Jiang, Y., Zhang, C., Ge, D., Jiang, B., Ye, Y.: Homogeneous Second-Order Descent Framework: A Fast Alternative to Newton-Type Methods, http://arxiv.org/abs/2306.17516, (2023)
4.  Jiang, Y., He, C., Zhang, C., Ge, D., Jiang, B., Ye, Y.: A Universal Trust-Region Method for Convex and Nonconvex Optimization, http://arxiv.org/abs/2311.11489, (2023)

Developer

• Chuwen Zhang [email protected]
• Yinyu Ye [email protected]

Known issues

DRSOM.jl is still under active development. Please add issues on GitHub.

License

DRSOM.jl is licensed under the MIT License. Check LICENSE for more details

Acknowledgement

• Special thanks go to the COPT team and Tianyi Lin (Darren) for helpful suggestions.