Interior Point Method
Total Page:16
File Type:pdf, Size:1020Kb
Load more
Recommended publications
-
Advances in Interior Point Methods and Column Generation
Advances in Interior Point Methods and Column Generation Pablo Gonz´alezBrevis Doctor of Philosophy University of Edinburgh 2013 Declaration I declare that this thesis was composed by myself and that the work contained therein is my own, except where explicitly stated otherwise in the text. (Pablo Gonz´alezBrevis) ii To my endless inspiration and angels on earth: Paulina, Crist´obal and Esteban iii Abstract In this thesis we study how to efficiently combine the column generation technique (CG) and interior point methods (IPMs) for solving the relaxation of a selection of integer programming problems. In order to obtain an efficient method a change in the column generation technique and a new reoptimization strategy for a primal-dual interior point method are proposed. It is well-known that the standard column generation technique suffers from un- stable behaviour due to the use of optimal dual solutions that are extreme points of the restricted master problem (RMP). This unstable behaviour slows down column generation so variations of the standard technique which rely on interior points of the dual feasible set of the RMP have been proposed in the literature. Among these tech- niques, there is the primal-dual column generation method (PDCGM) which relies on sub-optimal and well-centred dual solutions. This technique dynamically adjusts the column generation tolerance as the method approaches optimality. Also, it relies on the notion of the symmetric neighbourhood of the central path so sub-optimal and well-centred solutions are obtained. We provide a thorough theoretical analysis that guarantees the convergence of the primal-dual approach even though sub-optimal solu- tions are used in the course of the algorithm. -
Chapter 8 Constrained Optimization 2: Sequential Quadratic Programming, Interior Point and Generalized Reduced Gradient Methods
Chapter 8: Constrained Optimization 2 CHAPTER 8 CONSTRAINED OPTIMIZATION 2: SEQUENTIAL QUADRATIC PROGRAMMING, INTERIOR POINT AND GENERALIZED REDUCED GRADIENT METHODS 8.1 Introduction In the previous chapter we examined the necessary and sufficient conditions for a constrained optimum. We did not, however, discuss any algorithms for constrained optimization. That is the purpose of this chapter. The three algorithms we will study are three of the most common. Sequential Quadratic Programming (SQP) is a very popular algorithm because of its fast convergence properties. It is available in MATLAB and is widely used. The Interior Point (IP) algorithm has grown in popularity the past 15 years and recently became the default algorithm in MATLAB. It is particularly useful for solving large-scale problems. The Generalized Reduced Gradient method (GRG) has been shown to be effective on highly nonlinear engineering problems and is the algorithm used in Excel. SQP and IP share a common background. Both of these algorithms apply the Newton- Raphson (NR) technique for solving nonlinear equations to the KKT equations for a modified version of the problem. Thus we will begin with a review of the NR method. 8.2 The Newton-Raphson Method for Solving Nonlinear Equations Before we get to the algorithms, there is some background we need to cover first. This includes reviewing the Newton-Raphson (NR) method for solving sets of nonlinear equations. 8.2.1 One equation with One Unknown The NR method is used to find the solution to sets of nonlinear equations. For example, suppose we wish to find the solution to the equation: xe+=2 x We cannot solve for x directly. -
Using Ant System Optimization Technique for Approximate Solution to Multi- Objective Programming Problems
International Journal of Scientific & Engineering Research, Volume 4, Issue 9, September-2013 ISSN 2229-5518 1701 Using Ant System Optimization Technique for Approximate Solution to Multi- objective Programming Problems M. El-sayed Wahed and Amal A. Abou-Elkayer Department of Computer Science, Faculty of Computers and Information Suez Canal University (EGYPT) E-mail: [email protected], Abstract In this paper we use the ant system optimization metaheuristic to find approximate solution to the Multi-objective Linear Programming Problems (MLPP), the advantageous and disadvantageous of the suggested method also discussed focusing on the parallel computation and real time optimization, it's worth to mention here that the suggested method doesn't require any artificial variables the slack and surplus variables are enough, a test example is given at the end to show how the method works. Keywords: Multi-objective Linear. Programming. problems, Ant System Optimization Problems Introduction The Multi-objective Linear. Programming. problems is an optimization method which can be used to find solutions to problems where the Multi-objective function and constraints are linear functions of the decision variables, the intersection of constraints result in a polyhedronIJSER which represents the region that contain all feasible solutions, the constraints equation in the MLPP may be in the form of equalities or inequalities, and the inequalities can be changed to equalities by using slack or surplus variables, one referred to Rao [1], Philips[2], for good start and introduction to the MLPP. The LP type of optimization problems were first recognized in the 30's by economists while developing methods for the optimal allocations of resources, the main progress came from George B. -
Uniform Boundedness Principle for Unbounded Operators
UNIFORM BOUNDEDNESS PRINCIPLE FOR UNBOUNDED OPERATORS C. GANESA MOORTHY and CT. RAMASAMY Abstract. A uniform boundedness principle for unbounded operators is derived. A particular case is: Suppose fTigi2I is a family of linear mappings of a Banach space X into a normed space Y such that fTix : i 2 Ig is bounded for each x 2 X; then there exists a dense subset A of the open unit ball in X such that fTix : i 2 I; x 2 Ag is bounded. A closed graph theorem and a bounded inverse theorem are obtained for families of linear mappings as consequences of this principle. Some applications of this principle are also obtained. 1. Introduction There are many forms for uniform boundedness principle. There is no known evidence for this principle for unbounded operators which generalizes classical uniform boundedness principle for bounded operators. The second section presents a uniform boundedness principle for unbounded operators. An application to derive Hellinger-Toeplitz theorem is also obtained in this section. A JJ J I II closed graph theorem and a bounded inverse theorem are obtained for families of linear mappings in the third section as consequences of this principle. Go back Let us assume the following: Every vector space X is over R or C. An α-seminorm (0 < α ≤ 1) is a mapping p: X ! [0; 1) such that p(x + y) ≤ p(x) + p(y), p(ax) ≤ jajαp(x) for all x; y 2 X Full Screen Close Received November 7, 2013. 2010 Mathematics Subject Classification. Primary 46A32, 47L60. Key words and phrases. -
On the Boundary Between Mereology and Topology
On the Boundary Between Mereology and Topology Achille C. Varzi Istituto per la Ricerca Scientifica e Tecnologica, I-38100 Trento, Italy [email protected] (Final version published in Roberto Casati, Barry Smith, and Graham White (eds.), Philosophy and the Cognitive Sciences. Proceedings of the 16th International Wittgenstein Symposium, Vienna, Hölder-Pichler-Tempsky, 1994, pp. 423–442.) 1. Introduction Much recent work aimed at providing a formal ontology for the common-sense world has emphasized the need for a mereological account to be supplemented with topological concepts and principles. There are at least two reasons under- lying this view. The first is truly metaphysical and relates to the task of charac- terizing individual integrity or organic unity: since the notion of connectedness runs afoul of plain mereology, a theory of parts and wholes really needs to in- corporate a topological machinery of some sort. The second reason has been stressed mainly in connection with applications to certain areas of artificial in- telligence, most notably naive physics and qualitative reasoning about space and time: here mereology proves useful to account for certain basic relation- ships among things or events; but one needs topology to account for the fact that, say, two events can be continuous with each other, or that something can be inside, outside, abutting, or surrounding something else. These motivations (at times combined with others, e.g., semantic transpar- ency or computational efficiency) have led to the development of theories in which both mereological and topological notions play a pivotal role. How ex- actly these notions are related, however, and how the underlying principles should interact with one another, is still a rather unexplored issue. -
Cancer Treatment Optimization
CANCER TREATMENT OPTIMIZATION A Thesis Presented to The Academic Faculty by Kyungduck Cha In Partial Fulfillment of the Requirements for the Degree Doctor of Philosophy in the H. Milton Stewart School of Industrial and Systems Engineering Georgia Institute of Technology April 2008 CANCER TREATMENT OPTIMIZATION Approved by: Professor Eva K. Lee, Advisor Professor Renato D.C. Monteiro H. Milton Stewart School of Industrial H. Milton Stewart School of Industrial and Systems Engineering and Systems Engineering Georgia Institute of Technology Georgia Institute of Technology Professor Earl R. Barnes Professor Nolan E. Hertel H. Milton Stewart School of Industrial G. W. Woodruff School of Mechanical and Systems Engineering Engineering Georgia Institute of Technology Georgia Institute of Technology Professor Ellis L. Johnson Date Approved: March 28, 2008 H. Milton Stewart School of Industrial and Systems Engineering Georgia Institute of Technology To my parents, wife, and son. iii ACKNOWLEDGEMENTS First of all, I would like to express my sincere appreciation to my advisor, Dr. Eva Lee for her invaluable guidance, financial support, and understanding throughout my Ph.D program of study. Her inspiration provided me many ideas in tackling with my thesis problems and her enthusiasm encouraged me to produce better works. I would also like to thank Dr. Earl Barnes, Dr. Ellis Johnson, Dr. Renato D.C. Monteiro, and Dr. Nolan Hertel for their willingness to serve on my dissertation committee and for their valuable feedbacks. I also thank my friends, faculty, and staff, at Georgia Tech, who have contributed to this thesis in various ways. Specially, thank you to the members at the Center for Operations Research in Medicine and HealthCare for their friendship. -
Baire Category Theorem and Uniform Boundedness Principle)
Functional Analysis (WS 19/20), Problem Set 3 (Baire Category Theorem and Uniform Boundedness Principle) Baire Category Theorem B1. Let (X; k·kX ) be an innite dimensional Banach space. Prove that X has uncountable Hamel basis. Note: This is Problem A2 from Problem Set 1. B2. Consider subset of bounded sequences 1 A = fx 2 l : only nitely many xk are nonzerog : Can one dene a norm on A so that it becomes a Banach space? Consider the same question with the set of polynomials dened on interval [0; 1]. B3. Prove that the set L2(0; 1) has empty interior as the subset of Banach space L1(0; 1). B4. Let f : [0; 1) ! [0; 1) be a continuous function such that for every x 2 [0; 1), f(kx) ! 0 as k ! 1. Prove that f(x) ! 0 as x ! 1. B5.( Uniform Boundedness Principle) Let (X; k · kX ) be a Banach space and (Y; k · kY ) be a normed space. Let fTαgα2A be a family of bounded linear operators between X and Y . Suppose that for any x 2 X, sup kTαxkY < 1: α2A Prove that . supα2A kTαk < 1 Uniform Boundedness Principle U1. Let F be a normed space C[0; 1] with L2(0; 1) norm. Check that the formula 1 Z n 'n(f) = n f(t) dt 0 denes a bounded linear functional on . Verify that for every , F f 2 F supn2N j'n(f)j < 1 but . Why Uniform Boundedness Principle is not satised in this case? supn2N k'nk = 1 U2.( pointwise convergence of operators) Let (X; k · kX ) be a Banach space and (Y; k · kY ) be a normed space. -
FUNCTIONAL ANALYSIS 1. Banach and Hilbert Spaces in What
FUNCTIONAL ANALYSIS PIOTR HAJLASZ 1. Banach and Hilbert spaces In what follows K will denote R of C. Definition. A normed space is a pair (X, k · k), where X is a linear space over K and k · k : X → [0, ∞) is a function, called a norm, such that (1) kx + yk ≤ kxk + kyk for all x, y ∈ X; (2) kαxk = |α|kxk for all x ∈ X and α ∈ K; (3) kxk = 0 if and only if x = 0. Since kx − yk ≤ kx − zk + kz − yk for all x, y, z ∈ X, d(x, y) = kx − yk defines a metric in a normed space. In what follows normed paces will always be regarded as metric spaces with respect to the metric d. A normed space is called a Banach space if it is complete with respect to the metric d. Definition. Let X be a linear space over K (=R or C). The inner product (scalar product) is a function h·, ·i : X × X → K such that (1) hx, xi ≥ 0; (2) hx, xi = 0 if and only if x = 0; (3) hαx, yi = αhx, yi; (4) hx1 + x2, yi = hx1, yi + hx2, yi; (5) hx, yi = hy, xi, for all x, x1, x2, y ∈ X and all α ∈ K. As an obvious corollary we obtain hx, y1 + y2i = hx, y1i + hx, y2i, hx, αyi = αhx, yi , Date: February 12, 2009. 1 2 PIOTR HAJLASZ for all x, y1, y2 ∈ X and α ∈ K. For a space with an inner product we define kxk = phx, xi . Lemma 1.1 (Schwarz inequality). -
A Study of Optimization in Hilbert Space
California State University, San Bernardino CSUSB ScholarWorks Theses Digitization Project John M. Pfau Library 1998 A study of optimization in Hilbert Space John Awunganyi Follow this and additional works at: https://scholarworks.lib.csusb.edu/etd-project Part of the Mathematics Commons Recommended Citation Awunganyi, John, "A study of optimization in Hilbert Space" (1998). Theses Digitization Project. 1459. https://scholarworks.lib.csusb.edu/etd-project/1459 This Project is brought to you for free and open access by the John M. Pfau Library at CSUSB ScholarWorks. It has been accepted for inclusion in Theses Digitization Project by an authorized administrator of CSUSB ScholarWorks. For more information, please contact [email protected]. A STUDY OF OPTIMIZATIONIN HELBERT SPACE A Project Presented to the Faculty of California State University, San Bernardino In Partial Fulfillment ofthe Requirements for the Degree Master ofArts in Mathematics by John Awunganyi June 1998 A STUDY OF OPTIMIZATION IN HILBERT SPACE A Project Presented to the Faculty of California State University, San Bernardino by John Awunganyi June 1998 Approved by; Dr. Chetan Prakash, Chair, Mathematics Date r. Wenxang Wang Dr. Christopher Freiling Dr. Terry Hallett, Graduate Coordinator Dr. Peter Williams, Department Chair ABSTRACT The primary objective ofthis project is to demonstrate that a certain field ofoptimization can be effectively unified by afew geometric principles ofcomplete normed linear space theory. By employing these principles, important and complex finite - dimensional problems can be interpreted and solved by methods springing from geometric insight. Concepts such as distance, orthogonality, and convexity play a fundamental and indispensable role in this development. Viewed in these terms, seemingly diverse problems and techniques often are found to be closely related. -
An Annotated Bibliography of Network Interior Point Methods
AN ANNOTATED BIBLIOGRAPHY OF NETWORK INTERIOR POINT METHODS MAURICIO G.C. RESENDE AND GERALDO VEIGA Abstract. This paper presents an annotated bibliography on interior point methods for solving network flow problems. We consider single and multi- commodity network flow problems, as well as preconditioners used in imple- mentations of conjugate gradient methods for solving the normal systems of equations that arise in interior network flow algorithms. Applications in elec- trical engineering and miscellaneous papers complete the bibliography. The collection includes papers published in journals, books, Ph.D. dissertations, and unpublished technical reports. 1. Introduction Many problems arising in transportation, communications, and manufacturing can be modeled as network flow problems (Ahuja et al. (1993)). In these problems, one seeks an optimal way to move flow, such as overnight mail, information, buses, or electrical currents, on a network, such as a postal network, a computer network, a transportation grid, or a power grid. Among these optimization problems, many are special classes of linear programming problems, with combinatorial properties that enable development of efficient solution techniques. The focus of this annotated bibliography is on recent computational approaches, based on interior point methods, for solving large scale network flow problems. In the last two decades, many other approaches have been developed. A history of computational approaches up to 1977 is summarized in Bradley et al. (1977). Several computational studies established the fact that specialized network simplex algorithms are orders of magnitude faster than the best linear programming codes of that time. (See, e.g. the studies in Glover and Klingman (1981); Grigoriadis (1986); Kennington and Helgason (1980) and Mulvey (1978)). -
The Central Curve in Linear Programming
THE CENTRAL CURVE IN LINEAR PROGRAMMING JESUS´ A. DE LOERA, BERND STURMFELS, AND CYNTHIA VINZANT Abstract. The central curve of a linear program is an algebraic curve specified by linear and quadratic constraints arising from complementary slackness. It is the union of the various central paths for minimizing or maximizing the cost function over any region in the associated hyperplane arrangement. We determine the degree, arithmetic genus and defining prime ideal of the central curve, thereby answering a question of Bayer and Lagarias. These invariants, along with the degree of the Gauss image of the curve, are expressed in terms of the matroid of the input matrix. Extending work of Dedieu, Malajovich and Shub, this yields an instance-specific bound on the total curvature of the central path, a quantity relevant for interior point methods. The global geometry of central curves is studied in detail. 1. Introduction We consider the standard linear programming problem in its primal and dual formulation: (1) Maximize cT x subject to Ax = b and x ≥ 0; (2) Minimize bT y subject to AT y − s = c and s ≥ 0: Here A is a fixed matrix of rank d having n columns. The vectors c 2 Rn and b 2 image(A) may vary. In most of our results we assume that b and c are generic. This implies that both the primal optimal solution and the dual optimal solution are unique. We also assume that the problem (1) is bounded and both problems (1) and (2) are strictly feasible. Before describing our contributions, we review some basics from the theory of linear pro- gramming [26,33]. -
IMPROVED PARTICLE SWARM OPTIMIZATION for NON-LINEAR PROGRAMMING PROBLEM with BARRIER METHOD Raju Prajapati1 1University of Engineering & Management, Kolkata, W.B
View metadata, citation and similar papers at core.ac.uk brought to you by CORE provided by Gyandhara International Academic Publication (GIAP): Journals International Journal of Students’ Research in Technology & Management eISSN: 2321-2543, Vol 5, No 4, 2017, pp 72-80 https://doi.org/10.18510/ijsrtm.2017.5410 IMPROVED PARTICLE SWARM OPTIMIZATION FOR NON-LINEAR PROGRAMMING PROBLEM WITH BARRIER METHOD Raju Prajapati1 1University Of Engineering & Management, Kolkata, W.B. India Om Prakash Dubey2, Randhir Kumar3 2,3Bengal College Of Engineering & Technology, Durgapur, W.B. India email: [email protected] Article History: Submitted on 10th September, Revised on 07th November, Published on 30th November 2017 Abstract: The Non-Linear Programming Problems (NLPP) are computationally hard to solve as compared to the Linear Programming Problems (LPP). To solve NLPP, the available methods are Lagrangian Multipliers, Sub gradient method, Karush-Kuhn-Tucker conditions, Penalty and Barrier method etc. In this paper, we are applying Barrier method to convert the NLPP with equality constraint to an NLPP without constraint. We use the improved version of famous Particle Swarm Optimization (PSO) method to obtain the solution of NLPP without constraint. SCILAB programming language is used to evaluate the solution on sample problems. The results of sample problems are compared on Improved PSO and general PSO. Keywords. Non-Linear Programming Problem, Barrier Method, Particle Swarm Optimization, Equality and Inequality Constraints. INTRODUCTION A large number of algorithms are available to solve optimization problems, inspired by evolutionary process in nature. e.g. Genetic Algorithm, Particle Swarm Optimization, Ant Colony Optimization, Bee Colony Optimization, Memetic Algorithm, etc.