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SILO Seminar – Joel Andersson

Event Details

When: November 19, 2015, 12:30 PM

Location: 3rd Floor Orchard View Room , Discovery Building

Contact: 608-316-4401, hstampfli@wisc.edu

CasADi – A General-Purpose Software Framework for Dynamic Optimization

Methods and software for derivative-based numerical optimization in general and simulation-based optimization in particular have seen a large rise in popularity over the past 30 years. Still, due to practical difficulties in implementing many of the methods in a fast and reliable manner, it remains an underused technology in academia as well as in industry. The free and open-source software framework CasADi aims at bridging this gap and make a wide range of algorithms for derivative-based optimization in general and dynamic optimization in particular more accessible to researchers and industrial practitioners. It does this by offering a level of abstraction which is considerably lower (and hence more flexible) than popular algebraic modeling languages such as AMPL or GAMS, but higher than existing tools for algorithmic differentiation (AD).

At its core, CasADi is a symbolic framework for C++, Python or MATLAB which allows users to assemble generic symbolic expression graphs, combined into differentiable functions, using a convenient everything-is-a-sparse-matrix syntax. Using state-of-the-art AD techniques, CasADi is able to extract derivative information and generate new symbolic expressions corresponding to directional derivatives (forward or reverse mode) or large and sparse Jacobians and Hessians. This symbolic core is combined with interfaces to solvers for mathematical programming as well as a range of other features including generation of self-contained C code, just-in-time compilation and automatic sensitivity analysis of ODEs and DAEs.

SILO is a lecture series with speakers from the UW faculty, graduate students or invited researchers that discuss mathematical related topics. The seminars are organized by WID’s Optimization research group.

SILO’s purpose is to provide a forum that helps connect and recruit mathematically-minded graduate students. SILO is a lunch-and-listen format, where speakers present interesting math topics while the audience eats lunch.

Access to the room is via the elevator behind Aldo’s Cafe in the Northeast corner of the building.