Use-case: See how derivative-free optimization is used in Macro-economics!
Among the domain of macroeconomics are a series of models called DGSE (Dynamic Stochastic General Equilibrium), that try to explain the effects of economic policies on economic growth. Such models are frequently used by Central Banks to predict global growth of a country.
We studied the Federal Reserve Bank of New York DSGE model implemented in MATLAB using the IRIS toolbox by Iskander Karibzhanov, Senior Scientist at Bank of Canada. This model is highly nonlinear, with no access to exact derivatives. In such cases, one cannot expect the solver to find a solution with as much precision as for a problem for which exact derivatives are provided.
The parallel finite-differencing feature of Artelys Knitro is used to speed up the computation. Using Knitro 11.1 out-of-the-box, the computation time is further decreased by a factor of 5 while achieving the same value of objective value.
A new warm-start option for interior point methods
This version also brings a new option dedicated to warm-start for the two interior point methods embedded in Artelys Knitro (algorithm 1&2). This option allows huge performance improvements when the user is able to provide a good starting point. In addition, models that require solving multiple nonlinear problems sequentially specifically benefit from this new warm-start option. The figure below illustrates a typical application of this new option to solve sequential nonlinear subproblems, the overall computation time is reduced by a factor 10!
Additional features of Artelys Knitro 11.1
• New Python API with dedicated methods to define structured expressions
• Automatic convexity detection for QP/QCQPs
• Improved Knapsack cut generation including lifted cuts for MINLP problems
• Enhancement of the L-BFGS Hessian approximation
• General performance improvement on convex problems in particular for very large instances
Artelys will participate in the INFORMS Annual Meeting in Seattle (USA) on October 20th – 23rd, 2019. Meet our optimization experts, discover our latest products and projects, and even challenge yourself with our nonlinear optimization quiz!read more
— Artelys Knitro efficiently solves black-box optimization problems to win the 2019 BBComp edition! This accomplishment highlights Artelys Knitro excellent performance and robustness in the field of Derivative-Free Optimization (DFO).read more
— Powernext successfully held the first auction of Guarantees of Origin (GO) for the French State on September, 18th. The auction platform uses a market clearing algorithm designed by Powernext and Artelys and implemented by Artelys for the selection of offers.read more
— Artelys has developed an interactive web-based model of an interconnected electricity grid, which TenneT uses on its website to present the key challenges of managing its network.read more
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