Numerical Optimization

Numerical Optimization
Author: Jorge Nocedal
Publisher: Springer Science & Business Media
Total Pages: 686
Release: 2006-12-11
Genre: Mathematics
ISBN: 0387400656

Optimization is an important tool used in decision science and for the analysis of physical systems used in engineering. One can trace its roots to the Calculus of Variations and the work of Euler and Lagrange. This natural and reasonable approach to mathematical programming covers numerical methods for finite-dimensional optimization problems. It begins with very simple ideas progressing through more complicated concepts, concentrating on methods for both unconstrained and constrained optimization.

A Single-phase Method for Quadratic Programming

A Single-phase Method for Quadratic Programming
Author: Stanford University. Systems Optimization Laboratory
Publisher:
Total Pages: 80
Release: 1986
Genre:
ISBN:

This report describes a single-phase quadratic programming method, an active-set method which solves a sequence of equality-constraint quadratic programs.

Active-set Methods for Quadratic Programming

Active-set Methods for Quadratic Programming
Author: Elizabeth Lai Sum Wong
Publisher:
Total Pages: 125
Release: 2011
Genre:
ISBN: 9781124691152

Computational methods are considered for finding a point satisfying the second-order necessary conditions for a general (possibly nonconvex) quadratic program (QP). A framework for the formulation and analysis of feasible-point active-set methods is proposed for a generic QP. This framework is defined by reformulating and extending an inertia-controlling method for general QP that was first proposed by Fletcher and subsequently modified by Gould. This reformulation defines a class of methods in which a primal-dual search pair is the solution of a "KKT system'' of equations associated with an equality-constrained QP subproblem defined in terms of a "working set'' of linearly independent constraints. It is shown that, under certain circumstances, the solution of this KKT system may be updated using a simple recurrence relation, thereby giving a significant reduction in the number of systems that need to be solved. The use of inertia control guarantees that the KKT systems remain nonsingular throughout, thereby allowing the utilization of third-party linear algebra software. The algorithm is suitable for indefinite problems, making it an ideal QP solver for stand-alone applications and for use within a sequential quadratic programming method using exact second derivatives. The proposed framework is applied to primal and dual quadratic problems, as well as to single-phase problems that combine the feasibility and optimality phases of the active-set method, producing a range of formats that are suitable for a variety of applications. The algorithm is implemented in the Fortran code icQP. Its performance is evaluated using different symmetric and unsymmetric linear solvers on a set of convex and nonconvex problems. Results are presented that compare the performance of icQP with the convex QP solver SQOPT on a large set of convex problems.

Applied Mathematics and Parallel Computing

Applied Mathematics and Parallel Computing
Author: Herbert Fischer
Publisher: Springer Science & Business Media
Total Pages: 371
Release: 2012-12-06
Genre: Mathematics
ISBN: 3642997899

The authors of this Festschrift prepared these papers to honour and express their friendship to Klaus Ritter on the occasion of his sixtieth birthday. Be cause of Ritter's many friends and his international reputation among math ematicians, finding contributors was easy. In fact, constraints on the size of the book required us to limit the number of papers. Klaus Ritter has done important work in a variety of areas, especially in var ious applications of linear and nonlinear optimization and also in connection with statistics and parallel computing. For the latter we have to mention Rit ter's development of transputer workstation hardware. The wide scope of his research is reflected by the breadth of the contributions in this Festschrift. After several years of scientific research in the U.S., Klaus Ritter was ap pointed as full professor at the University of Stuttgart. Since then, his name has become inextricably connected with the regularly scheduled conferences on optimization in Oberwolfach. In 1981 he became full professor of Applied Mathematics and Mathematical Statistics at the Technical University of Mu nich. In addition to his university teaching duties, he has made the activity of applying mathematical methods to problems of industry to be centrally important.

On Complexity Certification of Active-Set QP Methods with Applications to Linear MPC

On Complexity Certification of Active-Set QP Methods with Applications to Linear MPC
Author: Daniel Arnström
Publisher: Linköping University Electronic Press
Total Pages: 45
Release: 2021-03-03
Genre:
ISBN: 9179296920

In model predictive control (MPC) an optimization problem has to be solved at each time step, which in real-time applications makes it important to solve these efficiently and to have good upper bounds on worst-case solution time. Often for linear MPC problems, the optimization problem in question is a quadratic program (QP) that depends on parameters such as system states and reference signals. A popular class of methods for solving such QPs is active-set methods, where a sequence of linear systems of equations is solved. The primary contribution of this thesis is a method which determines which sequence of subproblems a popular class of such active-set algorithms need to solve, for every possible QP instance that might arise from a given linear MPC problem (i.e, for every possible state and reference signal). By knowing these sequences, worst-case bounds on how many iterations, floating-point operations and, ultimately, the maximum solution time, these active-set algorithms require to compute a solution can be determined, which is of importance when, e.g, linear MPC is used in safety-critical applications. After establishing this complexity certification method, its applicability is extended by showing how it can be used indirectly to certify the complexity of another, efficient, type of active-set QP algorithm which reformulates the QP as a nonnegative least-squares method. Finally, the proposed complexity certification method is extended further to situations when enhancements to the active-set algorithms are used, namely, when they are terminated early (to save computations) and when outer proximal-point iterations are performed (to improve numerical stability).

Optimal Quadratic Programming Algorithms

Optimal Quadratic Programming Algorithms
Author: Zdenek Dostál
Publisher: Springer Science & Business Media
Total Pages: 293
Release: 2009-04-03
Genre: Mathematics
ISBN: 0387848061

Quadratic programming (QP) is one advanced mathematical technique that allows for the optimization of a quadratic function in several variables in the presence of linear constraints. This book presents recently developed algorithms for solving large QP problems and focuses on algorithms which are, in a sense optimal, i.e., they can solve important classes of problems at a cost proportional to the number of unknowns. For each algorithm presented, the book details its classical predecessor, describes its drawbacks, introduces modifications that improve its performance, and demonstrates these improvements through numerical experiments. This self-contained monograph can serve as an introductory text on quadratic programming for graduate students and researchers. Additionally, since the solution of many nonlinear problems can be reduced to the solution of a sequence of QP problems, it can also be used as a convenient introduction to nonlinear programming.

Quadratic Programming with Computer Programs

Quadratic Programming with Computer Programs
Author: Michael J. Best
Publisher: CRC Press
Total Pages: 423
Release: 2017-07-12
Genre: Business & Economics
ISBN: 1351647202

Quadratic programming is a mathematical technique that allows for the optimization of a quadratic function in several variables. QP is a subset of Operations Research and is the next higher lever of sophistication than Linear Programming. It is a key mathematical tool in Portfolio Optimization and structural plasticity. This is useful in Civil Engineering as well as Statistics.

A Regularized Active-set Method for Sparse Convex Quadratic Programming

A Regularized Active-set Method for Sparse Convex Quadratic Programming
Author: Christopher Mario Maes
Publisher:
Total Pages:
Release: 2010
Genre:
ISBN:

An active-set algorithm is developed for solving convex quadratic programs (QPs). The algorithm employs primal regularization within a bound-constrained augmented Lagrangian method. This leads to a sequence of QP subproblems that are feasible and strictly convex, and whose KKT systems are guaranteed to be nonsingular for any active set. A simplified, single-phase algorithm becomes possible for each QP subproblem. There is no need to control the inertia of the KKT system defining each search direction, and a simple step-length procedure may be used without risk of cycling in the presence of degeneracy. Since all KKT systems are nonsingular, they can be factored with a variety of sparse direct linear solvers. Block-LU updates of the KKT factors allow for active-set changes. The principal benefit of primal and dual regularization is that warm starts are possible from any given active set. This is vital inside sequential quadratic programming (SQP) methods for nonlinear optimization, such as the SNOPT solver. The method provides a reliable approach to solving sparse generalized least-squares problems. Ordinary least-squares problems with Tikhonov regularization and bounds can be solved as a single QP subproblem. The algorithm is implemented as the QPBLUR solver (Matlab and Fortran 95 versions) and the Fortran version has been integrated into SNOPT. The performance of QPBLUR is evaluated on a test set of large convex QPs, and on the sequences of QPs arising from SNOPT's SQP method.

Aircraft Control Allocation

Aircraft Control Allocation
Author: Wayne Durham
Publisher: John Wiley & Sons
Total Pages: 308
Release: 2017-01-17
Genre: Technology & Engineering
ISBN: 1118827791

Aircraft Control Allocation Wayne Durham, Virginia Polytechnic Institute and State University, USA Kenneth A. Bordignon, Embry-Riddle Aeronautical University, USA Roger Beck, Dynamic Concepts, Inc., USA An authoritative work on aircraft control allocation by its pioneers Aircraft Control Allocation addresses the problem of allocating supposed redundant flight controls. It provides introductory material on flight dynamics and control to provide the context, and then describes in detail the geometry of the problem. The book includes a large section on solution methods, including 'Banks' method', a previously unpublished procedure. Generalized inverses are also discussed at length. There is an introductory section on linear programming solutions, as well as an extensive and comprehensive appendix dedicated to linear programming formulations and solutions. Discrete-time, or frame-wise allocation, is presented, including rate-limiting, nonlinear data, and preferred solutions. Key features: Written by pioneers in the field of control allocation. Comprehensive explanation and discussion of the major control allocation solution methods. Extensive treatment of linear programming solutions to control allocation. A companion web site contains the code of a MATLAB/Simulink flight simulation with modules that incorporate all of the major solution methods. Includes examples based on actual aircraft. The book is a vital reference for researchers and practitioners working in aircraft control, as well as graduate students in aerospace engineering.