Numerical Optimization: Unit 9: Penalty Method and Interior Point Method Unit 10: Filter Method and The Maratos Effect

Numerical Optimization
Unit 9: Penalty Method and Interior Point Method

Unit 10: Filter Method and the Maratos Eect
Che-Rung Lee
Scribe:
May 1, 2011
(UNIT 9,10) Numerical Optimization May 1, 2011 1 / 24
Penalty method
The idea is to add penalty terms to the objective function, which
turns a constrained optimization problem to an unconstrained one.
Quadratic penalty function
Example (For equality constraints)
min x
1
+ x
2
subject to x
2
1
+ x
2
2
2 = 0 (x
= (1, 1))
Dene Q(x, ) = x
1
+ x
2
+

2
(x
2
1
+ x
2
2
2)
2
For = 1,
Q(x, 1) =
_
1 + 2(x
2
1
+ x
2
2
2)x
1
1 + 2(x
2
1
+ x
2
2
2)x
2
_
=
_
0
0
_
,
_
x
1
x
2
_
=
_
1.1
1.1
_
For = 10,
Q(x, 10) =
_
1 + 20(x
2
1
+ x
2
2
2)x
1
1 + 20(x
2
1
+ x
2
2
2)x
2
_
=
_
0
0
_
,
_
x
1
x
2
_
=
_
1.0000001
1.0000001
_
Size of
It seems the larger , the better solution is.
When is large, matrix
2
Q cc
T
is ill-conditioned.
Q(x, ) = f (x) +

2
(c(x))
2
Q = f + cc
2
Q =
2
f + cc
T
+ c
2
c
cannot be too small either.
Example
min
x
5x
2
1
+ x
2
2
s.t. x
1
= 1.
Q(x, ) = 5x
2
1
+ x
2
2
+

2
(x
1
1)
2
.
For < 10, the problem min Q(x, ) is unbounded.
Quadratic penalty function
Picks a proper initial guess of and gradually increases it.
Algorithm: Quadratic penalty function
1
Given
0
> 0 and x
0
2
For k = 0, 1, 2, ...
1 Solve min
x
Q(:,
k
) = f (x) +

k
2
i
c
2
i
(x).
2 If converged, stop
3 Increase
k+1
>
k
and nd a new x
k+1
Problem: the solution is not exact for .
Augmented Lagrangian method
Use the Lagrangian function to rescue the inexactness problem.
Let
(x, , ) = f (x)
i
c
i
(x) +

2
i
c
2
i
(x)
= f (x)
i
c
i
(x) +
i
c
i
(x)c
i
.
By the Lagrangian theory, = f
i
(
i
c
i
)
. .
i
c
i
.
At the optimal solution, c
i
(x
) =
1
i

i
).
If we can approximate
i

i
,
k
need not be increased
indenitely,
k+1
i
=
k
i

k
c
i
(x
k
)
Algorithm: update
i
at each iteration.
Inequality constraints
There are two approaches to handle inequality constraints.
1
Make the object function nonsmooth (non-dierentiable at some
points).
2
Add slack variable to turn the inequality constraints to equality
constraints.
c
i
0
_
c
i
(x) s
i
= 0
s
i
0
But then we have bounded constraints for slack variables.
We will focus on the second approach here.
Inequality constraints
Suppose the augmented Lagrangian method is used and all inequality
constraints are converted to bounded constraints.
For a xed and

,
min
x
(x,
, ) = f (x)
m
i =1
i
c
i
(x) +

2
m
i =1
c
2
i
(x)
s.t.

x u
The rst order necessary condition for x to be a solution of the above
problem is
x = P(x
x
A
(x,
, ),
, u),
where
P(g,
, u) =
i
, if g
i

i
;
g
i
, if g
i
(
i
, u
i
);
u
i
, if g
i
u
i
.
for all i = 1, 2, . . . , n.
Nonlinear gradient projection method
Sequential quadratic programming + trust region method to solve
min
x
f (x) s.t.

x u
Algorithm: Nonlinear gradient projection method
1
At each iteration, build a quadratic model
q(x) =
1
2
(x x
k
)
T
B
k
(x x
k
) +f
T
k
(x x
k
)
where B
k
is SPD approximation of
2
f (x
k
).
2
For some
k
, use the gradient projection method to solve
min
x
q(x)
s.t. max(
, x
k

k
) x max(u, x
k
+
k
),
3
Update
k
and repeat 1-3 until converge.
Interior point method
Consider the problem
min
x
f (x)
s.t. C
E
(x) = 0
C
I
(x) s = 0
s 0
where s are slack variables.
The interior point method starts a point inside the feasible region,
and builds walls on the boundary of the feasible region.
A barrier function goes to innity when the input is close to zero.
min
x,s
f (x)
m
i =1
log(s
i
) s.t.
C
E
(x) = 0
C
I
(x) s = 0
(1)
The function f (x) = log x as x 0.
: barrier parameter
An example
Example (min x + 1, s.t. x 1)
min
x
x + 1 ln(1 x)
= 1, x
= 0.00005
= 0.1, x
= 0.89999
= 0.01, x
= 0.989999
= 10
5
, x
= 0.99993
y
x
1 x 0
The Lagrangian of (1) is

(x,s, y, z) = f (x)
m
i =1
log(s
i
) y
T
C
E
(x) z
T
(C
I
(x) s)
1
Vector y is the Lagrangian multiplier of equality constraints.
2
Vector z is the Lagrangian multiplier of inequality constraints.
The KKT conditions
The KKT conditions
The KKT conditions for (1)
x
= 0 f A
E
y A
I
z = 0
s
= 0 SZ I = 0
y
= 0 C
E
(x) = 0
z
= 0 C
I
(x) s = 0
(2)
Matrix S = diag(s) and matrix Z = diag(z).
Matrix A
E
is the Jacobian of C
E
and matrix A
I
is the Jacobian of C
I
.
Newtons step
Let F =
f A
E
y A
I
z
SZ I
C
E
(x)
C
I
(x) s
.
The interior point method uses Newtons method to solve F = 0.
F =
xx
0 A
E
(x) A
I
(x)
0 Z 0 S
A
E
(x) 0 0 0
A
I
(x) I 0 0
Newtons step
F =
p
x
p
s
p
y
p
z
= F
x
k+1
= x
k
+
x
p
x
s
k+1
=s
k
+
s
p
s
y
k+1
= y
k
+
y
p
y
z
k+1
= z
k
+
z
p
z
Algorithm: Interior point method (IPM)
Algorithm: Interior point method (IPM)
1
Given initial x
0
,s
0
, y
0
, z
0
, and
0
2
For k = 0, 1, 2, . . . until converge
(a) Compute p
x
, p
s
, p
y
, p
z
and
x
,
s
,
y
,
z
(b) (x
k+1
,s
k+1
, y
k+1
, z
k+1
) = (x
k
,s
k
, y
k
, z
k
) + (
x
p
x
,
s
p
s
,
y
p
y
,
z
p
z
)
(c) Adjust
k+1
<
k
Some comments of IMP
Some comments of the interior point method
1
The complementarity slackness condition says s
i
z
i
= 0 at the optimal
solution, by which, the parameter , SZ = I , needs to decrease to
zero as the current solution approaches to the optimal solution.
2
Why cannot we set zero or small in the beginning? Because that
will make x
k
going to the nearest constraint, and the entire process
will move along constraint by constraint, which again becomes an
exponential algorithm.
3
To keep x
k
(or s and z) too close any constraints, IPM also limits the
step size of s and z
max
s
= max{ (0, 1],s + p
s
(1 )s}
max
z
= max{ (0, 1], z + p
z
(1 )z}
Interior point method for linear programming
We will use linear programming to illustrate the details of IPM.
The primal The dual
min
x
c
T
x
s.t. Ax =

b,
x 0.
max
b
T
s.t. A
T
+s = c,
s 0.
KKT conditions
A
T
+s = c
Ax =

b
x
i
s
i
= 0
x 0,s 0
Solve problem
Let X =
x
1
x
2
.
.
.
x
n
, S =
s
1
s
2
.
.
.
s
n
,
F =
A
T
+s c
Ax
b
Xs e
The problem is to solve F = 0

Newtons method
Using Newtons method
F =
0 A
T
I
A 0 0
S 0 X
p
x
p
p
z
= F
x
k+1
= x
k
+
x
p
x
k+1
=

k
+
z
k+1
= z
k
+
z
p
z
How to decide
k
?
k
=
1
n
x
k
. s
k
is called duality measure.
The central path
The central path
The central path: a set of points, p() =
, dened by the
solution of the equation
A
T
+s = c
Ax =

b
x
i
s
i
= i = 1, 2, , n
x,s > 0
Algorithm
Algorithm: The interior point method for solving linear programming
1
Given an interior point x
0
and the initial guess of slack variables s
0
2
For k = 0, 1, . . .
(a) Solve
0 A
T
I
A 0 0
S
k
0 X
k
x
k
k
s
k
b Ax
k
c s
k
A
T
k
X
k
S
k
e +
k
k
e
for
k
[0, 1].
(b) Compute (
x
,
,
s
) s.t.
x
k+1
k+1
s
k+1
x
k
+
x
x
k
k
+
k
s
k
+
s
s
k
is in the
neighborhood of the central path
() =
XSe e
for some (0, 1].

Filter method
There are two goals of constrained optimization:
1
Minimize the objective function.
2
Satisfy the constraints.
Example
Suppose the problem is
min
x
f (x)
s.t. c
i
(x) = 0 for i
c
i
(x) 0 for i
Dene h(x) penalty functions of constraints.
h(x) =
i
c
i
(x) +
i
[c
i
(x)]
,
in which the notation [z]
= max{0, z}.
The goals become
_
min f (x)
min h(x)
The lter method
A pair (f
k
, h
k
) dominates (f
l
, h
l
) if f
k
< f
l
and h
k
< h
l
.
A lter is a list of pairs (f
k
, h
k
) such that no pair dominates any other.
The lter method only accepts the steps that are not dominated by
other pairs.
Algorithm: The lter method
1
Given initial x
0
and an initial trust region
0
.
2
For k = 0, 1, 2, . . . until converge
1 Compute a trial x
+
by solving a local quadric programming model
2 If (f
+
, h
+
) is accepted to the lter
Set x
k+1
= x
+
, add (f
+
, h
+
) to the lter, and remove pairs dominated
by it.
Else
Set x
k+1
= x
k
and decrease
k
.
The Maratos eect
The Maratos eect shows the lter method could reject a good step.
Example
min
x
1
,x
2
f (x
1
, x
2
) = 2(x
2
1
+ x
2
2
1) x
1
s.t. x
2
1
+ x
2
2
1 = 0
The optimal solution is x
= (1, 0)
Suppose x
k
=
_
cos
sin
_
, p
k
=
_
sin
2
sin cos
_
x
k+1
= x
k
+p
k
=
_
cos + sin
2
sin (1 cos )
_
Reject a good step
x
k
x
=
_
_
_
_
_
cos 1
sin
__
_
_
_
=
cos
2
2 cos + 1 + sin
2
=
2(1 cos )
x
k+1
x
=
_
_
_
_
cos + sin
2
1
sin sin cos
_
_
_
_
=
_
_
_
_
cos (1 cos )
sin (1 cos )
_
_
_
_
=
cos
2
(1 cos )
2
+ sin
2
(1 cos )
2
=
(1 cos )
2
Therefore
x
k+1
x
x
k
x
2
=
1
2
. This step gives a quadratic convergence.
However, the lter method will reject this step because
f (x
k
) = cos , and c(x
k
) = 0,
f (x
k+1
) = cos sin 2 = sin
2
cos > f (x
k
)
c(x
k+1
) = sin
2
> 0 = c(x
k
)
The second order correction
The second order correction could help to solve this problem.
Instead of c(x
k
)
T
p
k
+ c(x
k
) = 0, use quadratic approximation
c(x
k
) +c(x
k
)
T
d
k
+
1
2
d
T
k

2
xx
c(x)
d
k
= 0. (3)
Suppose
d
k
p
k
is small. Use Taylor expansion to approximate
quadratic term
c(x
k
+p
k
) c(x
k
) +c(x
k
)
T
p
k
+
1
2
p
T
k

2
xx
c(x)p
k
.
1
2
d
T
k

2
xx
c(x)
d
k

1
2
p
T
k

2
xx
c(x)p
k
c(x
k
+p
k
) c(x
k
) c(x
k
)
T
p
k
.
Equation (3) can be rewritten as
c(x
k
)
T
d
k
+ c(x
k
+p
k
) c(x
k
)
T
p
k
= 0
Use the corrected linearized constraint:
c(x
k
)
T
p + c(x
k
+p
k
) c(x
k
)
T
p
k
= 0.
(The original linearized constraint is c(x
k
)
T
p + c(x
k
) = 0.)

Numerical Optimization: Unit 9: Penalty Method and Interior Point Method Unit 10: Filter Method and The Maratos Effect

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Numerical Optimization: Unit 9: Penalty Method and Interior Point Method Unit 10: Filter Method and The Maratos Effect

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Verfügbare Formate

Numerical Optimization

Unit 9: Penalty Method and Interior Point Method

The Lagrangian of (1) is

The problem is to solve F = 0

for some (0, 1].

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