OPTEC Course on Numerical Methods for Optimal Control (Lecture 3)
"Integration of ODE, Adaptivity, and Sensitivities / Inexact SQP Methods"
This lecture consists of two parts: first Boris Houska explains in PPT how adaptive integrators for ODE are implemented (RKF and BDF methods) and how sensitivities (that are needed in optimization) can be efficiently generated. Second, Moritz Diehl will motivate on the blackboard the use of inexact derivatives in Newton type optimization methods and discuss generalizations of SQP methods that do not only use Hessian approximations, but also inexact Jacobians.
General info: This 6 lecture course is aimed at all OPTEC members that are interested in developing numerical methods for optimal control. It introduces the attendants into both, well-known and brand-new algorithmic ideas that are important for the optimal control software that is developed at OPTEC. It will also introduce into the technical vocabulary in the field.
Some non-authorized notes related to the lecture by M. Diehl on inexact SQP methods can be found
here.
Slides (RKF and BDF methods).
