GloptiPoly
swMATH ID: | 4343 |
Software Authors: | Henrion, Didier; Lasserre, Jean-Bernard; Loefberg, Johan |
Description: | GloptiPoly 3 is intended to solve, or at least approximate, the Generalized Problem of Moments (GPM), an infinite-dimensional optimization problem which can be viewed as an extension of the classical problem of moments. From a theoretical viewpoint, the GPM has developments and impact in various areas of mathematics such as algebra, Fourier analysis, functional analysis, operator theory, probability and statistics, to cite a few. In addition, and despite a rather simple and short formulation, the GPM has a large number of important applications in various fields such as optimization, probability, finance, control, signal processing, chemistry, cristallography, tomography, etc.The present version of GloptiPoly 3 can handle moment problems with polynomial data. Many important applications in e.g. optimization, probability, financial economics and optimal control, can be viewed as particular instances of the GPM, and (possibly after some transformation) of the GPM with polynomial data.The approach is similar to that used in the former version 2 of GloptiPoly. The software allows to build up a hierarchy of semidefinite programming (SDP), or linear matrix inequality (LMI) relaxations of the GPM, whose associated monotone sequence of optimal values converges to the global optimum. |
Homepage: | http://homepages.laas.fr/henrion/software/gloptipoly3/ |
Dependencies: | Matlab |
Keywords: | 3- moments; optimization and semidefinite programming |
Related Software: | SeDuMi; YALMIP; Sostools; SDPT3; Matlab; SparsePOP; Mosek; SDPA; TSSOS; CVX; SPOTless; Robotics; BARON; Benchmarks for Optimization Software; Sparse-BSOS; CSDP; PENNON; PHCpack; LMI toolbox; NCSOStools |
Cited in: | 374 Documents |
Standard Articles
1 Publication describing the Software, including 1 Publication in zbMATH | Year |
---|---|
Detecting global optimality and extracting solutions in GloptiPoly. Zbl 1119.93301 Henrion, Didier; Lassere, Jean-Bernard |
2005
|
all
top 5
Cited by 502 Authors
all
top 5
Cited in 110 Serials
all
top 5