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10.1 Types of Constrained Optimization Algorithms
10.1 Types of Constrained Optimization Algorithms
10.1 Types of Constrained Optimization Algorithms
1 TYPES OF CONSTRAINED
OPTIMIZATION
ALGORITHMS
Quadratic Programming Problems
(
Bk = ! 2xx L xk , "k )
• But how do you solve the subproblem? It is possible with extensions of
simplex which I do not cover.
• An option is BFGS which makes it convex.
Interior Point Methods
• Reduce the inequality constraints with a barrier
m
min x,s f ( x ) ! µ " log si
i=1
subject to ci ( x ) = 0 i #E
ci ( x ) ! si = 0 i #I
min x f ( x ) ! µ # log si +
1
#
2 µ i"I
( ci ( x ) ! s ) +
2 1
#
2 µ i"E
( ci ( x ))
2
i"I
Penalty parameter
• It is called the l1 merit function.
• Sometimes, they can be even EXACT.
•
Smooth and Exact Penalty Functions
! ! 10 "5
10.3 MARATOS EFFECT AND
CURVILINEAR SEARCH
Unfortunately, the Newton step may not be
compatible with penalty
• This is called the Maratos effect.
• Problem:
• Use Fletcher s function that does not suffer from this problem.
• Following a step:
• Use a correction that satisfies
• Since (
c ( xk + pk + p̂k ) = O xk ! x *
3
compared to ) (
c ( x k + pk ) = O x k ! x *
2
)
corrected Newton step is likelier to be accepted.