SIP

This repository implements a sparse interior point solver in C++.

Our method optimizes nonlinear nonconvex optimization problems of the form

$$\min\limits_{x} f(x) + \frac{\rho}{2} \lVert e \rVert^2 \qquad \mbox{s.t.} \quad c(x) = 0 \wedge g(x) + s + e = 0 \wedge s \geq 0$$.

The functions $f, c, g$ are required to be continuously differentiable.

The user is required to provide a linear system solver for the Newton-KKT systems. This can be done, for example via SLACG or SIP_QDLDL.

Some examples with code can be found in the SIP Examples repository.

No dynamic memory allocation is done inside of the solver.