Nonlinear Optimization

An Explicit Three-Term Polak-Ribière-Polyak Conjugate Gradient Method for Bicriteria Optimization

  • Mounir El Maghri
  • Youssef Elboulqe
    • Categories Multi-Criteria Optimization, Unconstrained Optimization Tags , , , , ,

    We propose in this paper a Polak-Ribière-Polyak conjugate gradient type method for solving bicriteria optimization problems by avoiding scalarization techniques. Two particular advantages in this contribution are to be noted. First, the suggested descent direction common to both criteria may be directly computed by a given formula without solving any intermediate subproblem. Second, the descent … Read more

    Solving low-rank semidefinite programs via manifold optimization

  • Jie Wang
    • Categories Constrained Nonlinear Optimization, Optimization Software Benchmark, Semi-definite Programming Tags , , , , ,

    We propose a manifold optimization approach to solve linear semidefinite programs (SDP) with low-rank solutions. This approach incorporates the augmented Lagrangian method and the Burer-Monteiro factorization, and features the adaptive strategies for updating the factorization size and the penalty parameter. We prove that the present algorithm can solve SDPs to global optimality, despite of the … Read more

    On a Frank-Wolfe Approach for Abs-smooth Functions

  • Timo Kreimeier
  • Sebastian Pokutta
  • Andrea Walther
  • Zev Woodstock
    • Categories Constrained Nonlinear Optimization, Nonsmooth Optimization, Other Topics Tags , , , ,

    We propose an algorithm which appears to be the first bridge between the fields of conditional gradient methods and abs-smooth optimization. Our nonsmooth nonconvex problem setting is motivated by machine learning, since the broad class of abs-smooth functions includes, for instance, the squared $l_2$-error of a neural network with ReLU or hinge loss activation. To … Read more

    Effective matrix adaptation strategy for noisy derivative-free optimization

  • Morteza Kimiaei
  • Arnold Neumaier
    • Categories Global Optimization Applications, Nonlinear Optimization, Optimization Software Benchmark Tags

    In this paper, we introduce a new effective matrix adaptation evolution strategy (MADFO) for noisy derivative-free optimization problems. Like every MAES solver, MADFO consists of three phases: mutation, selection and recombination. MADFO improves the mutation phase by generating good step sizes, neither too small nor too large, that increase the probability of selecting mutation points … Read more

    A worst-case complexity analysis for Riemannian non-monotone line-search methods

  • Harry Oviedo
    • Categories Constrained Nonlinear Optimization, Nonlinear Optimization Tags , , ,

    In this paper we deal with non-monotone line-search methods to minimize a smooth cost function on a Riemannian manifold. In particular, we study the number of iterations necessary for this class of algorithms to obtain e-approximated stationary points. Specifically, we prove that under a regularity Lipschitz-type condition on the pullbacks of the cost function to … Read more

    A PDE-Constrained Generalized Nash Equilibrium Approach for Modeling Gas Markets with Transport

  • Veronika Grimm
  • Michael Hintermueller
  • Olivier Huber
  • Lars Schewe
  • Martin Schmidt
  • Gregor Zöttl
    • Categories Game Theory, Infinite Dimensional Optimization, Systems governed by Differential Equations Optimization Tags , , , ,

    We investigate a class of generalized Nash equilibrium problems (GNEPs) in which the objectives of the individuals are interdependent and the shared constraint consists of a system of partial differential equations. This setup is motivated by the modeling of strategic interactions of competing firms, which explicitly take into account the dynamics of transporting a commodity, … Read more

    On Exact and Inexact RLT and SDP-RLT Relaxations of Quadratic Programs with Box Constraints

  • Yuzhou Qiu
  • E. Alper Yildirim
    • Categories Bound-constrained Optimization, Global Optimization, Quadratic Programming Tags , , ,

    Quadratic programs with box constraints involve minimizing a possibly nonconvex quadratic function subject to lower and upper bounds on each variable. This is a well-known NP-hard problem that frequently arises in various applications. We focus on two convex relaxations, namely the RLT (Reformulation-Linearization Technique) relaxation and the SDP-RLT relaxation obtained by adding semidefinite constraints to … Read more

    A Slightly Lifted Convex Relaxation for Nonconvex Quadratic Programming with Ball Constraints

  • Samuel Burer
    • Categories Cone Programming, Global Optimization Theory, Quadratic Programming

    \(\) Globally optimizing a nonconvex quadratic over the intersection of \(m\) balls in \(\mathbb{R}^n\) is known to be polynomial-time solvable for fixed \(m\). Moreover, when \(m=1\), the standard semidefinite relaxation is exact, and when \(m=2\), it has recently been shown that an exact relaxation can be constructed via a disjunctive semidefinite formulation based on essentially two copies of the \(m=1\) case. … Read more

    Sequential Quadratic Optimization for Stochastic Optimization with Deterministic Nonlinear Inequality and Equality Constraints

  • Frank E. Curtis
  • Daniel P. Robinson
  • Baoyu Zhou
    • Categories Constrained Nonlinear Optimization, Nonlinear Optimization, Stochastic Programming Tags , ,

    A sequential quadratic optimization algorithm for minimizing an objective function defined by an expectation subject to nonlinear inequality and equality constraints is proposed, analyzed, and tested. The context of interest is when it is tractable to evaluate constraint function and derivative values in each iteration, but it is intractable to evaluate the objective function or … Read more

    Model-Based Derivative-Free Optimization Methods and Software

  • Tom M. Ragonneau
    • Categories Constrained Nonlinear Optimization, Nonlinear Optimization, Optimization Software and Modeling Systems

    This thesis studies derivative-free optimization (DFO), particularly model-based methods and software. These methods are motivated by optimization problems for which it is impossible or prohibitively expensive to access the first-order information of the objective function and possibly the constraint functions. In particular, this thesis presents PDFO, a package we develop to provide both MATLAB and Python … Read more