MS&E 318 (CME 338) Large-Scale Numerical Optimization: Stanford University, Management Science & Engineering (And ICME)
MS&E 318 (CME 338) Large-Scale Numerical Optimization: Stanford University, Management Science & Engineering (And ICME)
MS&E 318 (CME 338) Large-Scale Numerical Optimization: Stanford University, Management Science & Engineering (And ICME)
1 Origins
Large-scale solvers such as CONOPT [7, 1], LANCELOT [4, 5, 12], MINOS [13, 14], and
SNOPT [8, 9] are designed to solve constrained optimization problems in the following fairly
general form:
NCO minimize
n
φ(x)
x∈R
x
subject to ` ≤ Ax ≤ u,
c(x)
where A is a sparse matrix, c(x) is a vector of smooth nonlinear functions, and the bounds
` and u are likely to exist as shown. (As always, some bounds could be infinite and some
could imply equality constraints: `j = uj .)
In the early days of optimization, it was a challenge to optimize a nonlinear function φ(x)
with no constraints. Bounds on the variables (`j ≤ xj ≤ uj ) could be accommodated with
reasonable ease by active-set strategies, but more general constraints tended to be imposed
via penalty terms and barrier terms in the objective.
In many cases it is general enough to deal with nonlinear equality constraints and simple
bounds:
NCB minimize
n
φ(x)
x∈R
subject to c(x) = 0, ` ≤ x ≤ u,
where c(x) ∈ Rm may include linear functions, and x includes slack variables to deal with
inequality constraints.
Some applications require all iterates to be feasible. FSQP is one solver that achieves this.
The Generalized Reduced Gradient (GRG) approach exemplified by CONOPT is slightly
different. Assuming the current point is feasible, it generates the next search direction
by assuming c(x) is linear. It may evaluate c(x + αp) at infeasible points, but it restores
feasibility at each stage before “moving on”.
Otherwise, most methods are content to satisfy c(x) = 0 only in the limit. The main
approaches of interest are penalty methods, augmented Lagrangian methods (which solve se-
quences of optimization subproblems with linear constraints) and nonlinear interior methods
(which solve sequences of nonlinear equations).
67
68 MS&E 318 (CME 338) Large-Scale Numerical Optimization
2 Penalty methods
For this section we assume there are only equality constraints ci (x) = 0, i = 1 : m:
NEC minimize
n
φ(x)
x∈R
subject to c(x) = 0.
A locally optimal solution (x∗ , y ∗ ) satisfies the first-order KKT conditions for NEC:
c(x) = 0, (4)
T
J(x) y = g0 (x). (5)
In real life we are always finding a balance between what is desirable (our objective function)
and what is legally achievable (the constraints that prevent infinite profit!). This multiple
objective point of view suggests solving the unconstrained problem
with some penalty parameter ρ > 0. We call P (x, ρ) the quadratic penalty function.
We envisage a trajectory of points xρ that solve PP(ρ) for an increasing sequence of ρ
values. We must let ρ become large to achieve near feasibility, but at least the penalty func-
tion is smooth. We may therefore apply Newton or quasi-Newton methods for unconstrained
optimization. The derivatives of the penalty function are
g(x, ρ) ≡ ∇P (x, ρ) = gL (x, y),
H(x, ρ) ≡ ∇2 P (x, ρ) = HL (x, y) + ρJ(x)TJ(x),
where gL and HL are the Lagrangian derivatives (2)–(3) with y = −ρc(x) in this case.
Note that g(x, ρ) = 0 at xρ (an unconstrained minimizer of the penalty function). Defining
yρ = −ρc(xρ ), we see that (xρ , yρ ) is the exact solution of a perturbed form of problem
NEC:
NECρ minimize φ(x)
x
subject to c(x) = c(xρ ).
Also, if the Jacobian J(x∗ ) has full row rank and x∗ is a unique local minimizer for NEC
(i.e., the reduced Hessian for NEC is positive definite), we can show that the full Hessian
H(x, ρ) is positive definite at (xρ , yρ ) for sufficiently large ρ. Thus, the penalty function is
convex for large ρ, and the minimizer xρ exists.
At first glance, Newton’s method for minimizing PP(ρ) would obtain a search direction
p by solving H(x, ρ)p = −g(x, ρ), i.e., the system
(HL + ρJ TJ)p = −(g0 + ρJ Tc), (6)
where HL is defined with y = −ρc. System (6) is ill-conditioned for large ρ (assuming
m < n). This is one reason why the early unconstrained optimizers proved unsuccessful
with quadratic penalty functions. It was some time before a cure for the ill-conditioning
was recognized, but indeed there is one. Following Gould [10] we define q = −ρ(c + Jp) at
the current x. The Newton system is then equivalent to
HL J T
p g
=− 0 , (7)
J − ρ1 I −q c
which contains no large numbers and may be preferable for sparsity reasons anyway. If
(x, y) is close to a local optimum (x∗ , y ∗ ) and if ρ is large, any ill-conditioning in (7) reflects
the sensitivity of (x∗ , y ∗ ) to perturbations in the data.
Unfortunately, although p can be computed reliably when ρ is large, this doesn’t save
the quadratic penalty method. When c is not very small, p leads away from the linearization
of c(x) = 0 at the current x, and Newton’s method is likely to be too slow.
Spring 2015, Notes 9 Augmented Lagrangian Methods 69
3 Equality constraints
We continue to study problem NEC, bearing in mind the difficulties encountered with the
quadratic penalty method when ρ becomes very large. Again let (x∗, y ∗ ) be a local minimizer,
and assume that the Jacobian J(x) = ∇c(x) has full row rank at x = x∗ . The first-order
optimality conditions that (x∗, y ∗ ) must satisfy are
c(x) = 0, (8)
T
g0 (x) − J(x) y = 0. (9)
The Lagrangian associated with problem NEC is L(x, y) = φ(x) − y Tc(x) (1). We see that
the Lagrangian gradient ∇x L must be zero at (x∗, y ∗ ). The required solution is a stationary
point of the Lagrangian. However, in general we cannot find x∗ by minimizing L(x, y) as
a function of x, even if we set y = y ∗ . The problem min x21 + x22 st x21 + x22 = 1 illustrates
what goes wrong no matter what the value of y.
The second-order optimality condition for (x∗ , y ∗ ) to be an isolated local minimizer is
that the Lagrangian Hessian HL (x∗ , y ∗ ) ≡ ∇2xx L(x∗ , y ∗ ) should be positive definite within
the null space of J(x∗ ). That is, the Hessian should satisfy z T HL (x∗ , y ∗ )z > 0 for all nonzero
vectors z satisfying J(x∗ )z = 0.
The following result on quadratic forms is relevant.
This suggests that we should add to the Lagrangian a term whose Hessian is ρJ(x)TJ(x).
We already know such a function: it appears in the quadratic penalty method.
The augmented Lagrangian method for solving problem NEC proceeds by choosing y and
ρ judiciously and then minimizing L(x, y, ρ) as a function of x. The resulting x is used to
choose a new y and ρ, and the process repeats. The auxiliary vector yb simplifies the above
notation and proves to be useful in its own right.
Note that if ρ is reasonably large, minimizing L will tend to make kc(x)k small (as for
the penalty method), even if y is somewhat arbitrary. Also, HL will tend to have positive
curvature in the right space and a minimizer is likely to exist.
On the other hand, if y is close to y ∗ , since minimizing L makes kgL k small, we see that
(x, y) ≈ (x, y ∗ ) almost satisfies (9). If it also happens that kc(x)k is small (because ρ is large
enough), (x, y) will almost satisfy (8) as well.
The strategy is to check that kc(x)k is suitably small after each (approximate) mini-
mization of L. If so, y is updated to yb = y − ρc(x). If not, ρ is increased and y remains the
same. Under favorable conditions, (x, y) → (x∗, y ∗ ) before ρ becomes too large.
70 MS&E 318 (CME 338) Large-Scale Numerical Optimization
4 LANCELOT
We now return the general optimization problem
NCB minimize
n
φ(x)
x∈R
subject to c(x) = 0, ` ≤ x ≤ u,
where c(x) = 0 includes linear and nonlinear constraints, and x includes slack variables
where necessary to deal with inequalities. The large-scale solver LANCELOT [4, 5, 12] treats
NCB by applying an augmented Lagrangian method to a sequence of bound-constrained
subproblems of the form
A large-scale trust-region method is applied to each BCL subproblem. It takes care of the
bound constraints directly. (They are not part of the augmented Lagrangian.)
We call the LANCELOT approach a bound-constrained Lagrangian method, in antici-
pation of other methods that minimize the augmented Lagrangian subject to additional
constraints (which are likely to be linear).
definite, PCG may terminate with a direction of infinite descent or a direction of negative
curvature.
A feature of LANCELOT and SBMIN is their provision for nonlinear functions that are
group partially separable. This facilitates the formation of gL and HL . It is also useful for
computing the matrix-vector products HL (M , M )v required by PCG.
6 Further reading
The augmented Lagrangian method for handling equality constraints was originally called
the method of multipliers (Hestenes [11], Powell [16]). Powell viewed the augmented La-
grangian as a shifted quadratic penalty function. An important reference for augmented
Lagrangian methods is Bertsekas [2]. A good overview is Chapter 17 of Nocedal and Wright
[15].
72 MS&E 318 (CME 338) Large-Scale Numerical Optimization
Exercises
These are concerned with problem NEC.
1. Derive Newton’s method for solving the nonlinear equations (8)–(9) for (x, y). Show
that the search direction (p, q) satisfies the KKT-type system
HL (x, y) J T g0 − J Ty
p
=− , (14)
J −q c
HL (x, y, 0) J T g0 − J T y
p
=− , (15)
J − ρ1 I −q c
References
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