PNOPT (pronounced pee-en-opt) is a MATLAB package that uses proximal Newton-type methods to minimize composite functions. For details, please refer to the PNOPT paper.
Unpack the archive and add the
yuekai-PNOPT-xxxxxxx directory to your MATLAB search path, e.g.
We suggest users also install TFOCS (pronounced tee-fox), a MATLAB package that uses accelerated first-order methods to solve conic programs.
PNOPT has the calling sequence:
[ x, f, output ] = pnopt( smoothF, nonsmoothF, x0, options );
The required input arguments are:
smoothF: a smooth function,
nonsmoothF: a nonsmooth function,
x0: a starting point for the solver.
The user can also supply an
options structure created using the
pnopt_optimset function to customize the behavior of PNOPT.
pnopt_optimset shares a similar interface with MATLAB's optimset function:
options = pnopt_optimset( 'param1', val1, 'param2', val2, ... );
pnopt_optimset with no inputs and outputs prints available options.
x: an optimal solution,
f: the optimal value,
output: a structure containing information collected during the execution of PNOPT.
Smooth and nonsmooth functions must satisty these conventions:
smoothF( x )should return the function value and gradient at
[ fx, gradx ] = smoothF( x ),
nonsmoothF(x)should return function value at
f_x = nonsmoothF( x ),
nonsmoothF( x, t )should return the proximal point
yand the function value at
[ f_y, y ] = nonsmoothF( x, t ).
PNOPT is compatible with the function generators included with TFOCS that accept vector arguments so users can use these generators to create commonly used smooth and nonsmooth functions. Please refer to section 3 of the TFOCS user guide for details.