How to implement a convex optimization package?

Question

I fully understand that Convex Optimization packages, such as Linear Algebra packages, should be used by you, not implemented. However, for purely educational purposes - is there a good resource - a link / book on how to implement the convex optimization package? (for example, for quadratic programs with quadratic constraints?)

Thank!

Answer 1

Any good convex optimization tutorial has the things you are looking for. One such free, but great resource here is: CO Book . Note that, as you say correctly, the implementation of the algorithms mentioned in this book will definitely require linear algebra libraries that you may or may not want to implement.

Answer 2

The Optima has an article, newsletter Society mathematical optimization called "rapid development Minlp Solver open source with the COIN-OR". It describes the construction of a nonlinear solver using some coin-or packages . Most of the coin or material is written in C ++.

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Answer 3

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