Implementation of the FilterSQP constrained optimization algorithm. Using the FADBAD++ library for automatic differentiation.
2015/Sep - This is still very much WIP, and there is nothing related to constrained optimization yet. Just implementing trust-region optimization first, adapting my old Python code from the Corisco project.
But we do have preliminary results. Here are some basic demos of the solution of classic functions.
On the Rosenbrock "banana" function":
