A globally convergent primal-dual interior-point filter method for nonlinear programming

In this paper, the filter technique of Fletcher and Leyffer (1997) is used to globalize the primal-dual interior-point algorithm for nonlinear programming, avoiding the use of merit functions and the updating of penalty parameters. The new algorithm decomposes the primal-dual step obtained from the perturbed first-order necessary conditions into a normal and a tangential step, whose sizes are controlled by a trust-region type parameter. Each entry in the filter is a pair of coordinates: one resulting from feasibility and centrality, and associated with the normal step; the other resulting from optimality (complementarity and duality), and related with the tangential step. Global convergence to first-order critical points is proved for the new primal-dual interior-point filter algorithm

Multifidelity Analysis and Optimization for Supersonic Design

Supersonic aircraft design is a computationally expensive optimization problem and multifidelity approaches over a significant opportunity to reduce design time and computational cost. This report presents tools developed to improve supersonic aircraft design capabilities including: aerodynamic tools for supersonic aircraft configurations; a systematic way to manage model uncertainty; and multifidelity model management concepts that incorporate uncertainty. The aerodynamic analysis tools developed are appropriate for use in a multifidelity optimization framework, and include four analysis routines to estimate the lift and drag of a supersonic airfoil, a multifidelity supersonic drag code that estimates the drag of aircraft configurations with three different methods: an area rule method, a panel method, and an Euler solver. In addition, five multifidelity optimization methods are developed, which include local and global methods as well as gradient-based and gradient-free techniques

Multidelity methods for multidisciplinary system design

Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Aeronautics and Astronautics, 2012.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.Cataloged from student-submitted PDF version of thesis.Includes bibliographical references (p. 211-220).Optimization of multidisciplinary systems is critical as slight performance improvements can provide significant benefits over the system's life. However, optimization of multidisciplinary systems is often plagued by computationally expensive simulations and the need to iteratively solve a complex coupling-relationship between subsystems. These challenges are typically severe enough as to prohibit formal system optimization. A solution is to use multi- fidelity optimization, where other lower-fidelity simulations may be used to approximate the behavior of the higher-fidelity simulation. Low-fidelity simulations are common in practice, for instance, simplifying the numerical simulations with additional physical assumptions or coarser discretizations, or creating direct metamodels such as response surfaces or reduced order models. This thesis offers solutions to two challenges in multidisciplinary system design optimization: developing optimization methods that use the high-fidelity analysis as little as possible but ensure convergence to a high-fidelity optimal design, and developing methods that exploit multifidelity information in order to parallelize the optimization of the system and reduce the time needed to find an optimal design. To find high-fidelity optimal designs, Bayesian model calibration is used to improve low- fidelity models and systematically reduce the use of high-fidelity simulation. The calibrated low-fidelity models are optimized and using appropriate calibration schemes convergence to a high-fidelity optimal design is established. These calibration schemes can exploit high- fidelity gradient information if available, but when not, convergence is still demonstrated for a gradient-free calibration scheme. The gradient-free calibration is novel in that it enables rigorous optimization of high-fidelity simulations that are black-boxes, may fail to provide a solution, contain some noise in the output, or are experimental. In addition, the Bayesian approach enables us to combine multiple low-fidelity simulations to best estimate the high- fidelity function without nesting. Example results show that for both aerodynamic and structural design problems this approach leads to about an 80% reduction in the number of high-fidelity evaluations compared with single-fidelity optimization methods. To enable parallelized multidisciplinary system optimization, two approaches are developed. The first approach treats the system design problem as a bilevel programming problem and enables each subsystem to be designed concurrently. The second approach optimizes surrogate models of each discipline that are all constructed in parallel. Both multidisciplinary approaches use multifidelity optimization and the gradient-free Bayesian model calibration technique, but will exploit gradients when they are available. The approaches are demonstrated on an aircraft wing design problem, and enable optimization of the system in reasonable time despite lack of sensitivity information and 19% of evaluations failing. For cases when comparable algorithms are available, these approaches reduce the time needed to find an optimal design by approximately 50%.by Andrew I. March.Ph.D

An Alternating Trust Region Algorithm for Distributed Linearly Constrained Nonlinear Programs, Application to the AC Optimal Power Flow

A novel trust region method for solving linearly constrained nonlinear programs is presented. The proposed technique is amenable to a distributed implementation, as its salient ingredient is an alternating projected gradient sweep in place of the Cauchy point computation. It is proven that the algorithm yields a sequence that globally converges to a critical point. As a result of some changes to the standard trust region method, namely a proximal regularisation of the trust region subproblem, it is shown that the local convergence rate is linear with an arbitrarily small ratio. Thus, convergence is locally almost superlinear, under standard regularity assumptions. The proposed method is successfully applied to compute local solutions to alternating current optimal power flow problems in transmission and distribution networks. Moreover, the new mechanism for computing a Cauchy point compares favourably against the standard projected search as for its activity detection properties