20,468 research outputs found
A second derivative SQP method: theoretical issues
Sequential quadratic programming (SQP) methods form a class of highly efficient algorithms for solving nonlinearly constrained optimization problems. Although second derivative information may often be calculated, there is little practical theory that justifies exact-Hessian SQP methods. In particular, the resulting quadratic programming (QP) subproblems are often nonconvex, and thus finding their global solutions may be computationally nonviable. This paper presents a second-derivative SQP method based on quadratic subproblems that are either convex, and thus may be solved efficiently, or need not be solved globally. Additionally, an explicit descent-constraint is imposed on certain QP subproblems, which “guides” the iterates through areas in which nonconvexity is a concern. Global convergence of the resulting algorithm is established
Algorithms for the continuous nonlinear resource allocation problem---new implementations and numerical studies
Patriksson (2008) provided a then up-to-date survey on the
continuous,separable, differentiable and convex resource allocation problem
with a single resource constraint. Since the publication of that paper the
interest in the problem has grown: several new applications have arisen where
the problem at hand constitutes a subproblem, and several new algorithms have
been developed for its efficient solution. This paper therefore serves three
purposes. First, it provides an up-to-date extension of the survey of the
literature of the field, complementing the survey in Patriksson (2008) with
more then 20 books and articles. Second, it contributes improvements of some of
these algorithms, in particular with an improvement of the pegging (that is,
variable fixing) process in the relaxation algorithm, and an improved means to
evaluate subsolutions. Third, it numerically evaluates several relaxation
(primal) and breakpoint (dual) algorithms, incorporating a variety of pegging
strategies, as well as a quasi-Newton method. Our conclusion is that our
modification of the relaxation algorithm performs the best. At least for
problem sizes up to 30 million variables the practical time complexity for the
breakpoint and relaxation algorithms is linear
MM Algorithms for Geometric and Signomial Programming
This paper derives new algorithms for signomial programming, a generalization
of geometric programming. The algorithms are based on a generic principle for
optimization called the MM algorithm. In this setting, one can apply the
geometric-arithmetic mean inequality and a supporting hyperplane inequality to
create a surrogate function with parameters separated. Thus, unconstrained
signomial programming reduces to a sequence of one-dimensional minimization
problems. Simple examples demonstrate that the MM algorithm derived can
converge to a boundary point or to one point of a continuum of minimum points.
Conditions under which the minimum point is unique or occurs in the interior of
parameter space are proved for geometric programming. Convergence to an
interior point occurs at a linear rate. Finally, the MM framework easily
accommodates equality and inequality constraints of signomial type. For the
most important special case, constrained quadratic programming, the MM
algorithm involves very simple updates.Comment: 16 pages, 1 figur
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Reformulations of mathematical programming problems as linear complementarity problems
A family of complementarity problems are defined as extensions of the well known Linear Complementarity Problem (LCP). These are
(i.) Second Linear Complementarity Problem (SLCP) which is an LCP extended by introducing further equality restrictions and unrestricted variables,
(ii.) Minimum Linear Complementarity Problem (MLCP) which is an
LCP with additional variables not required to be complementary and with a linear objective function which is to be minimized,
(iii.) Second Minimum Linear Complementarity Problem (SMLCP) which is an MLCP but the nonnegative restriction on one of each pair of complementary variables is relaxed so that it is allowed to be unrestricted in value.
A number of well known mathematical programming problems, namely quadratic programming (convex, nonconvex, pseudoconvex nonconvex), bilinear programming, game theory, zero-one integer programming, the fixed charge problem, absolute value programming, variable separable programming are reformulated as members of this family of four complementarity problems
Sum-Rate Maximization in Two-Way AF MIMO Relaying: Polynomial Time Solutions to a Class of DC Programming Problems
Sum-rate maximization in two-way amplify-and-forward (AF) multiple-input
multiple-output (MIMO) relaying belongs to the class of difference-of-convex
functions (DC) programming problems. DC programming problems occur as well in
other signal processing applications and are typically solved using different
modifications of the branch-and-bound method. This method, however, does not
have any polynomial time complexity guarantees. In this paper, we show that a
class of DC programming problems, to which the sum-rate maximization in two-way
MIMO relaying belongs, can be solved very efficiently in polynomial time, and
develop two algorithms. The objective function of the problem is represented as
a product of quadratic ratios and parameterized so that its convex part (versus
the concave part) contains only one (or two) optimization variables. One of the
algorithms is called POlynomial-Time DC (POTDC) and is based on semi-definite
programming (SDP) relaxation, linearization, and an iterative search over a
single parameter. The other algorithm is called RAte-maximization via
Generalized EigenvectorS (RAGES) and is based on the generalized eigenvectors
method and an iterative search over two (or one, in its approximate version)
optimization variables. We also derive an upper-bound for the optimal values of
the corresponding optimization problem and show by simulations that this
upper-bound can be achieved by both algorithms. The proposed methods for
maximizing the sum-rate in the two-way AF MIMO relaying system are shown to be
superior to other state-of-the-art algorithms.Comment: 35 pages, 10 figures, Submitted to the IEEE Trans. Signal Processing
in Nov. 201
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