Approximate Greatest Descent Methods for Optimization with Equality Constraints

B. S. Goh ()
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B. S. Goh: Nanjing University

Journal of Optimization Theory and Applications, 2011, vol. 148, issue 3, No 5, 505-527

Abstract: Abstract In an optimization problem with equality constraints the optimal value function divides the state space into two parts. At a point where the objective function is less than the optimal value, a good iteration must increase the value of the objective function. Thus, a good iteration must be a balance between increasing or decreasing the objective function and decreasing a constraint violation function. This implies that at a point where the constraint violation function is large, we should construct noninferior solutions relative to points in a local search region. By definition, an accessory function is a linear combination of the objective function and a constraint violation function. We show that a way to construct an acceptable iteration, at a point where the constraint violation function is large, is to minimize an accessory function. We develop a two-phases method. In Phase I some constraints may not be approximately satisfied or the current point is not close to the solution. Iterations are generated by minimizing an accessory function. Once all the constraints are approximately satisfied, the initial values of the Lagrange multipliers are defined. A test with a merit function is used to determine whether or not the current point and the Lagrange multipliers are both close to the optimal solution. If not, Phase I is continued. If otherwise, Phase II is activated and the Newton method is used to compute the optimal solution and fast convergence is achieved.

Keywords: Optimization; Equality constraints; Approximate greatest descent iteration; Lagrange multipliers; Accessory function; Newton method (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10957-010-9765-3

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