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Optimization and Engineering

International Multidisciplinary Journal to Promote Optimization Theory & Applications in Engineering Sciences

Optimization and Engineering OnlineFirst articles

18-01-2019 | Research Article Open Access

A software framework for embedded nonlinear model predictive control using a gradient-based augmented Lagrangian approach (GRAMPC)

A nonlinear MPC framework is presented that is suitable for dynamical systems with sampling times in the (sub)millisecond range and that allows for an efficient implementation on embedded hardware. The algorithm is based on an augmented Lagrangian …

16-01-2019 | Book Review

C. Audet and W. Hare: Derivative-free and blackbox optimization. Springer series in operations research and financial engineering

2017, 302 pp, DOI 10.1007/978-3-319-68913-5

14-01-2019 | Research Article

American option pricing under GARCH with non-normal innovations

As it is well known from the time-series literature, GARCH processes with non-normal shocks provide better descriptions of stock returns than GARCH processes with normal shocks. However, in the derivatives literature, American option pricing …

08-01-2019 | Research Article

Dynamic optimization of a district energy system with storage using a novel mixed-integer quadratic programming algorithm

As more renewable energy is integrated into the power grid, it is increasingly important to exploit variable electricity pricing structures to minimize commercial utility costs and enable more intermittent renewables on the grid through proactive …

18-12-2018 | Research Article

Soft inequality constraints in gradient method and fast gradient method for quadratic programming

A quadratic program (QP) with soft inequality constraints with both linear and quadratic costs on constraint violation can be solved with the dual gradient method (GM) or the dual fast gradient method (FGM). The treatment of the constraint …

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Optimization and Engineering promotes the advancement of optimization methods and the innovative application of optimization in engineering. It provides a forum where engineering researchers can obtain information about relevant new developments in optimization, and researchers in mathematical optimization can read about the successes of and opportunities for optimization in the various engineering fields.

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