On the convergence of asynchronous parallel algorithm for large-scale linearly constrained minimization problem

As a synchronization parallel framework, the parallel variable transformation (PVT) algorithm is effective to solve unconstrained optimization problems. In this paper, based on the idea that a constrained optimization problem is equivalent to a differentiable unconstrained optimization problem by introducing the Fischer Function, we propose an asynchronous PVT algorithm for solving large-scale linearly constrained convex minimization problems. This new algorithm can terminate when some processor satisfies terminal condition without waiting for other processors. Meanwhile, it can enhances practical efficiency for large-scale optimization problem. Global convergence of the new algorithm is established under suitable assumptions. And in particular, the linear rate of convergence does not depend on the number of processors.     

Primal and dual multi-objective linear programming algorithms for linear multiplicative programmes

Multiplicative programming problems (MPPs) are global optimization problems known to be NP-hard. In this paper, we employ algorithms developed to compute the entire set of nondominated points of multi-objective linear programmes (MOLPs) to solve linear MPPs. First, we improve our own objective space cut and bound algorithm for convex MPPs in the special case of linear MPPs by only solving one linear programme in each iteration, instead of two as the previous version indicates. We call this algorithm, which is based on Benson’s outer approximation algorithm for MOLPs, the primal objective space algorithm. Then, based on the dual variant of Benson’s algorithm, we propose a dual objective space algorithm for solving linear MPPs. The dual algorithm also requires solving only one linear programme in each iteration. We prove the correctness of the dual algorithm and use computational experiments comparing our algorithms to a recent global optimization algorithm for linear MPPs from the literature as well as two general global optimization solvers to demonstrate the superiority of the new algorithms in terms of computation time. Thus, we demonstrate that the use of multi-objective optimization techniques can be beneficial to solve difficult single objective global optimization problems.     

基于种群分类排序的约束优化遗传算法

针对约束优化问题,提出了一类将种群中的个体分类排序的思想.算法的特点在于:先将种群中的解分为可行解和不可行解两类,然后分别按照不同的标准排序.由于很多约束优化问题的最优解位于可行域的边界上或附近,所以排序时并不认为可行解一定优于不可行解.基于此分类排队思想,特别设计了只允许同等级个体进行交叉的新的交叉算子,称之为同等级交叉算子,以及基于一维搜索的变异算子.算法同时采用了保证固定比例不可行解的自适应策略.4个标准测试函数的数值仿真结果验证了算法的有效性.     

Second-Order Smoothing Objective Penalty Function for Constrained Optimization Problems

In this article, a novel objective penalty function as well as its second-order smoothing is introduced for constrained optimization problems (COP). It is shown that an optimal solution to the second-order smoothing objective penalty optimization problem is an optimal solution to the original optimization problem under some mild conditions. Based on the second-order smoothing objective penalty function, an algorithm that has better convergence is introduced. Numerical examples illustrate that this algorithm is efficient in solving COP.     

Global convergence and rate of convergence of a method of centers

We consider a method of centers for solving constrained optimization problems. We establish its global convergence and that it converges with a linear rate when the starting point of the algorithm is feasible as well as when the starting point is infeasible. We demonstrate the effect of the scaling on the rate of convergence. We extend afterwards, the stability result of [5] to the infeasible case anf finally, we give an application to semi-infinite optimization problems.     

Three-term conjugate gradient method for the convex optimization problem over the fixed point set of a nonexpansive mapping

Many constrained sets in problems such as signal processing and optimal control can be represented as a fixed point set of a certain nonexpansive mapping, and a number of iterative algorithms have been presented for solving a convex optimization problem over a fixed point set. This paper presents a novel gradient method with a three-term conjugate gradient direction that is used to accelerate conjugate gradient methods for solving unconstrained optimization problems. It is guaranteed that the algorithm strongly converges to the solution to the problem under the standard assumptions. Numerical comparisons with the existing gradient methods demonstrate the effectiveness and fast convergence of this algorithm.     

A Computational Study of the Homogeneous Algorithm for Large-scale Convex Optimization

Recently the authors have proposed a homogeneous and self-dual algorithm for solving the monotone complementarity problem (MCP) [5]. The algorithm is a single phase interior-point type method; nevertheless, it yields either an approximate optimal solution or detects a possible infeasibility of the problem. In this paper we specialize the algorithm to the solution of general smooth convex optimization problems, which also possess nonlinear inequality constraints and free variables. We discuss an implementation of the algorithm for large-scale sparse convex optimization. Moreover, we present computational results for solving quadratically constrained quadratic programming and geometric programming problems, where some of the problems contain more than 100,000 constraints and variables. The results indicate that the proposed algorithm is also practically efficient.     

A linear programming-based optimization algorithm for solving nonlinear programming problems

In this paper a linear programming-based optimization algorithm called the Sequential Cutting Plane algorithm is presented. The main features of the algorithm are described, convergence to a Karush–Kuhn–Tucker stationary point is proved and numerical experience on some well-known test sets is showed. The algorithm is based on an earlier version for convex inequality constrained problems, but here the algorithm is extended to general continuously differentiable nonlinear programming problems containing both nonlinear inequality and equality constraints. A comparison with some existing solvers shows that the algorithm is competitive with these solvers. Thus, this new method based on solving linear programming subproblems is a good alternative method for solving nonlinear programming problems efficiently. The algorithm has been used as a subsolver in a mixed integer nonlinear programming algorithm where the linear problems provide lower bounds on the optimal solutions of the nonlinear programming subproblems in the branch and bound tree for convex, inequality constrained problems.     

非线性约束优化的光滑化平方根罚函数

介绍一种非线性约束优化的不可微平方根罚函数,为这种非光滑罚函数提出了一个新的光滑化函数和对应的罚优化问题,获得了原问题与光滑化罚优化问题目标之间的误差估计. 基于这种罚函数,提出了一个算法和收敛性证明,数值例子表明算法对解决非线性约束优化具有有效性.     

线性与非线性规划算法与理论

线性规划与非线性规划是数学规划中经典而重要的研究方向. 主要介绍该研究方向的背景知识,并介绍线性规划、无约束优化和约束优化的最新算法与理论以及一些前沿与热点问题. 交替方向乘子法是一类求解带结构的约束优化问题的方法,近年来倍受重视. 全局优化是一个对于应用优化领域非常重要的研究方向. 因此也试图介绍这两个方面的一些最新研究进展和问题.     

利用平面上的黄金分割法求全局最优解

给出了无约束全局最优问题的一种解法 ,该方法是一维搜索中的 0 .61 8法的推广 ,不仅使其适用范围由一维扩展到平面上 ,并且将原方法只适用于单峰函数的局部搜索改进为可适用于多峰函数的全局最优解的搜索 .给出了收敛性证明 .本法突出的优点在于 :适用性强、算法简单、可以在任意精度内寻得最优解并且克服了以往直接解法所共有的要求大量计算机内存的缺点 .仿真结果表明算法是有效的 .     

A SUPERLINEARLY CONVERGENT TRUST REGION ALGORITHM FOR LC^1 CONSTRAINED OPTIMIZATION PROBLEMS

In this paper, a new trust region algorithm for nonlinear equality constrained LC^1 optimization problems is given. It obtains a search direction at each iteration not by solving a quadratic programming subproblem with a trust region bound, but by solving a system of linear equations. Since the computational complexity of a QP-Problem is in general much larger than that of a system of linear equations, this method proposed in this paper may reduce the computational complexity and hence improve computational efficiency. Furthermore, it is proved under appropriate assumptions that this algorithm is globally and super-linearly convergent to a solution of the original problem. Some numerical examples are reported, showing the proposed algorithm can be beneficial from a computational point of view.     

DSLC-FOA : Improved fruit fly optimization algorithm for application to structural engineering design optimization problems

In this study, we propose an improved fruit fly optimization algorithm (FOA) based on linear diminishing step and logistic chaos mapping (named DSLC-FOA) for solving benchmark function unconstrained optimization problems and constrained structural engineering design optimization problems. Based on comparisons with genetic algorithm, particle swarm optimization, FOA, LGMS -FOA, and chaotic FOA methods, we demonstrated that DSLC-FOA performed better at searching for the optimal solutions of four typical benchmark functions. The approximate optimal results were obtained using DSLC-FOA for three structural engineering design optimization problems as examples of applications. The numerical results demonstrated that the proposed DSLC-FOA algorithm is superior to the basic FOA and other metaheuristic or deterministic methods.     

Simulated annealing with asymptotic convergence for nonlinear constrained optimization

In this paper, we present constrained simulated annealing (CSA), an algorithm that extends conventional simulated annealing to look for constrained local minima of nonlinear constrained optimization problems. The algorithm is based on the theory of extended saddle points (ESPs) that shows the one-to-one correspondence between a constrained local minimum and an ESP of the corresponding penalty function. CSA finds ESPs by systematically controlling probabilistic descents in the problem-variable subspace of the penalty function and probabilistic ascents in the penalty subspace. Based on the decomposition of the necessary and sufficient ESP condition into multiple necessary conditions, we present constraint-partitioned simulated annealing (CPSA) that exploits the locality of constraints in nonlinear optimization problems. CPSA leads to much lower complexity as compared to that of CSA by partitioning the constraints of a problem into significantly simpler subproblems, solving each independently, and resolving those violated global constraints across the subproblems. We prove that both CSA and CPSA asymptotically converge to a constrained global minimum with probability one in discrete optimization problems. The result extends conventional simulated annealing (SA), which guarantees asymptotic convergence in discrete unconstrained optimization, to that in discrete constrained optimization. Moreover, it establishes the condition under which optimal solutions can be found in constraint-partitioned nonlinear optimization problems. Finally, we evaluate CSA and CPSA by applying them to solve some continuous constrained optimization benchmarks and compare their performance to that of other penalty methods.     

Convergence and Application of a Decomposition Method Using Duality Bounds for Nonconvex Global Optimization

The subject of this article is a class of global optimization problems, in which the variables can be divided into two groups such that, in each group, the functions involved have the same structure (e.g. linear, convex or concave, etc.). Based on the decomposition idea of Benders (Ref. 1), a corresponding master problem is defined on the space of one of the two groups of variables. The objective function of this master problem is in fact the optimal value function of a nonlinear parametric optimization problem. To solve the resulting master problem, a branch-and-bound scheme is proposed, in which the estimation of the lower bounds is performed by applying the well-known weak duality theorem in Lagrange duality. The results of this article concentrate on two subjects: investigating the convergence of the general algorithm and solving dual problems of some special classes of nonconvex optimization problems. Based on results in sensitivity and stability theory and in parametric optimization, conditions for the convergence are established by investigating the so-called dual properness property and the upper semicontinuity of the objective function of the master problem. The general algorithm is then discussed in detail for some nonconvex problems including concave minimization problems with a special structure, general quadratic problems, optimization problems on the efficient set, and linear multiplicative programming problems.     

Shape and topology optimization for elliptic boundary value problems using a piecewise constant level set method

The aim of this paper is to propose a variational piecewise constant level set method for solving elliptic shape and topology optimization problems. The original model is approximated by a two-phase optimal shape design problem by the ersatz material approach. Under the piecewise constant level set framework, we first reformulate the two-phase design problem to be a new constrained optimization problem with respect to the piecewise constant level set function. Then we solve it by the projection Lagrangian method. A gradient-type iterative algorithm is presented. Comparisons between our numerical results and those obtained by level set approaches show the effectiveness, accuracy and efficiency of our algorithm.     

Successive Optimization Method via Parametric Monotone Composition Formulation*

In this paper a successive optimization method for solving inequality constrained optimization problems is introduced via a parametric monotone composition reformulation. The global optimal value of the original constrained optimization problem is shown to be the least root of the optimal value function of an auxiliary parametric optimization problem, thus can be found via a bisection method. The parametric optimization subproblem is formulated in such a way that it is a one-parameter problem and its value function is a monotone composition function with respect to the original objective function and the constraints. Various forms can be taken in the parametric optimization problem in accordance with a special structure of the original optimization problem, and in some cases, the parametric optimization problems are convex composite ones. Finally, the parametric monotone composite reformulation is applied to study local optimality.     

一种修正的求约束总极值的积分-水平集方法

对于有约束的全局最优化问题,在Chew-Zheng的《Integral Global Optimization》和邬冬华等的《一种修正的求总极值的积分-水平集方法的实现算法收敛性》的基础上,给出一种修正的求约束总极值的积分-水平集方法,它同样具有修正的求总极值的积分-水平集方法的两个特点: 1) 每一步构造一个新函数,它与原目标函数具有相同的总极值; 2) 避免了郑权算法在一般情况下,由于水平集不易求得而造成难以求出水平集的困难．同时给出了其实现算法,并证明了算法的收敛性．     

带非线性不等式约束优化问题的信赖域算法

借助于KKT条件和NCP函数,提出了求解带非线性不等式约束优化问题的信赖域算法.该算法在每一步迭代时,不必求解带信赖域界的二次规划子问题,仅需求一线性方程组系统.在适当的假设条件下,它还是整体收敛的和局部超线性收敛的.数值实验结果表明该方法是有效的.     

ON AUGMENTED LAGRANGIAN METHODS FOR SADDLE-POINT LINEAR SYSTEMS WITH SINGULAR OR SEMIDEFINITE （1, 1） BLOCKS

An effective algorithm for solving large saddle-point linear systems, presented by Krukier et al., is applied to the constrained optimization problems. This method is a modification of skew-Hermitian triangular splitting iteration methods. We consider the saddle-point linear systems with singular or semidefinite （1, 1） blocks. Moreover, this method is applied to precondition the GMRES. Numerical results have confirmed the effectiveness of the method and showed that the new method can produce high-quality preconditioners for the Krylov subspace methods for solving large sparse saddle-point linear systems.