NCL.jl

An implementation of Algorithm NCL in pure Julia using either IPOPT or Artelys KNITRO to solve the subproblems.

The data folder contains several tax models in AMPL format that can be read with AmplNLReader. Any model complying with the NLPModels API can be passed to the NCL solver, e.g., those from the CUTEst collection.

The solver is still work in progress but is functional. A similar solver is available for tax problems only in the AMPL scripting language: https://github.com/optimizers/ncl.

References

• D. Ma, Judd, K., Orban, D., & Saunders, M. (2018). Stabilized optimization via an NCL algorithm. In M. Al-Baali, L. Grandinetti, & A. Purnama (Eds.), Numerical Analysis and Optimization (Vol. 235, pp. 173–191). Switzerland: Springer International Publishing.
• Several talks by Michael A. Saunders: http://stanford.edu/group/SOL/talks.html