NDLI: Efficient and Adaptive Lagrange-Multiplier Methods for Nonlinear Continuous Global Optimization

Content Provider	Springer Nature Link
Author	Wah, Benjamin W. Wang, Tao
Copyright Year	1999
Abstract	Lagrangian methods are popular in solving continuous constrained optimization problems. In this paper, we address three important issues in applying Lagrangian methods to solve optimization problems with inequality constraints.First, we study methods to transform inequality constraints into equality constraints. An existing method, called the slack-variable method, adds a slack variable to each inequality constraint in order to transform it into an equality constraint. Its disadvantage is that when the search trajectory is inside a feasible region, some satisfied constraints may still pose some effect on the Lagrangian function, leading to possible oscillations and divergence when a local minimum lies on the boundary of the feasible region. To overcome this problem, we propose the MaxQ method that carries no effect on satisfied constraints. Hence, minimizing the Lagrangian function in a feasible region always leads to a local minimum of the objective function. We also study some strategies to speed up its convergence.Second, we study methods to improve the convergence speed of Lagrangian methods without affecting the solution quality. This is done by an adaptive-control strategy that dynamically adjusts the relative weights between the objective and the Lagrangian part, leading to better balance between the two and faster convergence.Third, we study a trace-based method to pull the search trajectory from one saddle point to another in a continuous fashion without restarts. This overcomes one of the problems in existing Lagrangian methods that converges only to one saddle point and requires random restarts to look for new saddle points, often missing good saddle points in the vicinity of saddle points already found.Finally, we describe a prototype Novel (Nonlinear Optimization via External Lead) that implements our proposed strategies and present improved solutions in solving a collection of benchmarks.
Starting Page	1
Ending Page	25
Page Count	25
File Format	PDF
ISSN	09255001
Journal	Journal of Global Optimization
Volume Number	14
Issue Number	1
e-ISSN	15732916
Language	English
Publisher	Kluwer Academic Publishers
Publisher Date	1999-01-01
Publisher Place	Dordrecht
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Computer Science Real Functions Optimization Operation Research/Decision Theory
Content Type	Text
Resource Type	Article
Subject	Control and Optimization Applied Mathematics Management Science and Operations Research Business, Management and Accounting Computer Science Applications

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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