Nonlinear Optimization

A Class of Smooth Exact Penalty Function Methods for Optimization Problems with Orthogonality Constraints

  • Nachuan Xiao
  • Xin Liu
  • Ya-xiang Yuan
    • Categories Basic Sciences Applications, Constrained Nonlinear Optimization Tags , ,

    Updating the augmented Lagrangian multiplier by closed-form expression yields efficient first-order infeasible approach for optimization problems with orthogonality constraints. Hence, parallelization becomes tractable in solving this type of problems. Inspired by this closed-form updating scheme, we propose an exact penalty function model with compact convex constraints (PenC). We show that PenC can act as an … Read more

    A bundle method for nonsmooth DC programming with application to chance-constrained problems

  • Welington de Oliveira
  • Sophie Demassey
  • Paul Javal
  • Hugo Morais
  • Bhargav Swaminathan
  • Wim van Ackooij
    • Categories Constrained Nonlinear Optimization, Nonsmooth Optimization Tags

    This work considers nonsmooth and nonconvex optimization problems whose objective and constraint functions are defined by difference-of-convex (DC) functions. We consider an infeasible bundle method based on the so-called improvement functions to compute critical points for problems of this class. Our algorithm neither employs penalization techniques nor solves subproblems with linearized constraints. The approach, which … Read more

    On convex hulls of epigraphs of QCQPs

  • Fatma Kılınç-Karzan
  • Alex L. Wang
    • Categories Global Optimization Theory, Quadratic Programming, Semi-definite Programming Tags , , , ,

    Quadratically constrained quadratic programs (QCQPs) are a fundamental class of optimization problems well-known to be NP-hard in general. In this paper we study sufficient conditions for a convex hull result that immediately implies that the standard semidefinite program (SDP) relaxation of a QCQP is tight. We begin by outlining a general framework for proving such … Read more

    Compact Representations of Structured BFGS Matrices

  • Johannes Brust
  • Sven Leyffer
  • Zichao (Wendy) Di
  • Cosmin G. Petra
    • Categories Nonlinear Optimization Tags , , , ,

    For general large-scale optimization problems compact representations exist in which recursive quasi-Newton update formulas are represented as compact matrix factorizations. For problems in which the objective function contains additional structure, so-called structured quasi-Newton methods exploit available second-derivative information and approximate unavailable second derivatives. This article develops the compact representations of two structured Broyden-Fletcher-Goldfarb-Shanno update formulas. … Read more

    A Finitely Convergent Disjunctive Cutting Plane Algorithm for Bilinear Programming

  • Hamed Rahimian
  • Sanjay Mehrotra
    • Categories (Mixed) Integer Nonlinear Programming, Cutting Plane Approaches, Quadratic Programming Tags , , , ,

    In this paper we present and analyze a finitely-convergent disjunctive cutting plane algorithm to obtain an \(\epsilon\)-optimal solution or detect infeasibility of a general nonconvex continuous bilinear program. While the cutting planes are obtained in a manner similar to Saxena, Bonami, and Lee [Math. Prog. 130: 359–413, 2011] and Fampa and Lee [J. Global Optim. … Read more

    Sequential Convexification of a Bilinear Set

  • Hamed Rahimian
  • Sanjay Mehrotra
    • Categories (Mixed) Integer Nonlinear Programming, Quadratic Programming Tags , , , ,

    We present a sequential convexification procedure to derive, in the limit, a set arbitrary close to the convex hull of $\epsilon$-feasible solutions to a general nonconvex continuous bilinear set. Recognizing that bilinear terms can be represented with a finite number nonlinear nonconvex constraints in the lifted matrix space, our procedure performs a sequential convexification with … Read more

    Strong Evaluation Complexity Bounds for Arbitrary-Order Optimization of Nonconvex Nonsmooth Composite Functions

  • Coralia Cartis
  • Nicholas I. M. Gould
  • Philippe L. Toint
    • Categories Bound-constrained Optimization, Constrained Nonlinear Optimization, Unconstrained Optimization Tags , ,

    We introduce the concept of strong high-order approximate minimizers for nonconvex optimization problems. These apply in both standard smooth and composite non-smooth settings, and additionally allow convex or inexpensive constraints. An adaptive regularization algorithm is then proposed to find such approximate minimizers. Under suitable Lipschitz continuity assumptions, whenever the feasible set is convex, it is … Read more

    Binary Optimal Control by Trust-Region Steepest Descent

  • Mirko Hahn
  • Sven Leyffer
  • Sebastian Sager
    • Categories Distributed Control, Integer Programming, Systems governed by Differential Equations Optimization Tags , ,

    We present a trust-region steepest descent method for dynamic optimal control problems with binary-valued integrable control functions. Our method interprets the control function as an indicator function of a measurable set and makes set-valued adjustments derived from the sublevel sets of a topological gradient function. By combining this type of update with a trust-region framework, … Read more

    A primal-dual modified log-barrier method for inequality constrained nonlinear optimization

  • Joshua D. Griffin
  • Riadh Omheni
    • Categories Constrained Nonlinear Optimization, Nonlinear Optimization Tags , , , ,

    We present a primal-dual modified log-barrier algorithm to solve inequality constrained nonlinear optimization problems. Basically, the algorithm is a Newton-like method applied to a perturbation of the optimality system that follows from a reformulation of the initial problem by introducing a modified log-barrier function to handle inequality constraints. The algorithm uses an outer/inner iteration scheme … Read more

    Weakly Homogeneous Optimization Problems

  • Vu Trung Hieu
    • Categories Nonlinear Optimization Tags , , , , , ,

    This paper investigates a new class of optimization problems whose objective functions are weakly homogeneous relative to the constrain sets. Two sufficient conditions for nonemptiness and boundedness of solution sets are established. We also study linear parametric problems and upper semincontinuity of the solution map. ArticleDownload View PDF