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On the Convergence of Pattern Search Algorithms
"... . We introduce an abstract definition of pattern search methods for solving nonlinear unconstrained optimization problems. Our definition unifies an important collection of optimization methods that neither computenor explicitly approximate derivatives. We exploit our characterization of pattern sea ..."
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Cited by 149 (14 self)
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. We introduce an abstract definition of pattern search methods for solving nonlinear unconstrained optimization problems. Our definition unifies an important collection of optimization methods that neither computenor explicitly approximate derivatives. We exploit our characterization of pattern search methods to establish a global convergence theory that does not enforce a notion of sufficient decrease. Our analysis is possible because the iterates of a pattern search method lie on a scaled, translated integer lattice. This allows us to relax the classical requirements on the acceptance of the step, at the expense of stronger conditions on the form of the step, and still guarantee global convergence. Key words. unconstrained optimization, convergence analysis, direct search methods, globalization strategies, alternating variable search, axial relaxation, local variation, coordinate search, evolutionary operation, pattern search, multidirectional search, downhill simplex search AMS(M...
A trust region method based on interior point techniques for nonlinear programming
 Mathematical Programming
, 1996
"... Jorge Nocedal z An algorithm for minimizing a nonlinear function subject to nonlinear inequality constraints is described. It applies sequential quadratic programming techniques to a sequence of barrier problems, and uses trust regions to ensure the robustness of the iteration and to allow the direc ..."
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Cited by 103 (17 self)
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Jorge Nocedal z An algorithm for minimizing a nonlinear function subject to nonlinear inequality constraints is described. It applies sequential quadratic programming techniques to a sequence of barrier problems, and uses trust regions to ensure the robustness of the iteration and to allow the direct use of second order derivatives. This framework permits primal and primaldual steps, but the paper focuses on the primal version of the new algorithm. An analysis of the convergence properties of this method is presented. Key words: constrained optimization, interior point method, largescale optimization, nonlinear programming, primal method, primaldual method, SQP iteration, barrier method, trust region method.
A Trust Region Framework For Managing The Use Of Approximation Models In Optimization
 STRUCTURAL OPTIMIZATION
, 1998
"... This paper presents an analytically robust, globally convergent approach to managing the use of approximation models of various fidelity in optimization. By robust global behavior we mean the mathematical assurance that the iterates produced by the optimization algorithm, started at an arbitrary ini ..."
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Cited by 84 (9 self)
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This paper presents an analytically robust, globally convergent approach to managing the use of approximation models of various fidelity in optimization. By robust global behavior we mean the mathematical assurance that the iterates produced by the optimization algorithm, started at an arbitrary initial iterate, will converge to a stationary point or local optimizer for the original problem. The approach we present is based on the trust region idea from nonlinear programming and is shown to be provably convergent to a solution of the original highfidelity problem. The proposed method for managing approximations in engineering optimization suggests ways to decide when the fidelity, and thus the cost, of the approximations might be fruitfully increased or decreased in the course of the optimization iterations. The approach is quite general. We make no assumptions on the structure of the original problem, in particular, no assumptions of convexity and separability, and place only mild ...
A New Trust Region Algorithm For Equality Constrained Optimization
, 1995
"... . We present a new trust region algorithm for solving nonlinear equality constrained optimization problems. At each iterate a change of variables is performed to improve the ability of the algorithm to follow the constraint level sets. The algorithm employs L 2 penalty functions for obtaining global ..."
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Cited by 51 (7 self)
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. We present a new trust region algorithm for solving nonlinear equality constrained optimization problems. At each iterate a change of variables is performed to improve the ability of the algorithm to follow the constraint level sets. The algorithm employs L 2 penalty functions for obtaining global convergence. Under certain assumptions we prove that this algorithm globally converges to a point satisfying the second order necessary optimality conditions; the local convergence rate is quadratic. Results of preliminary numerical experiments are presented. 1. Introduction. We consider the equality constrained optimization problem minimize f(x) subject to c(x) = 0 (1:1) where x 2 ! n and f : ! n ! !, and c : ! n ! ! m are smooth nonlinear functions. Problem (1.1) is often solved by successive quadratic programming (SQP) methods. At a current point x k 2 ! n , SQP methods determine a search direction d k by solving a quadratic programming problem minimize rf(x k ) T d + 1 2 ...
A Global Convergence Theory for General TrustRegionBased Algorithms for Equality Constrained Optimization
 SIAM Journal on Optimization
, 1992
"... This work presents a global convergence theory for a broad class of trustregion algorithms for the smooth nonlinear progro.mmln S problem with equality constraints. The main result generalizes Powell's 1975 result for unconstrained trustregion algorithms. ..."
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Cited by 42 (10 self)
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This work presents a global convergence theory for a broad class of trustregion algorithms for the smooth nonlinear progro.mmln S problem with equality constraints. The main result generalizes Powell's 1975 result for unconstrained trustregion algorithms.
Solving the trustregion subproblem using the Lanczos method
, 1997
"... The approximate minimization of a quadratic function within an ellipsoidal trust region is an important subproblem for many nonlinear programming methods. When the number of variables is large, the most widelyused strategy is to trace the path of conjugate gradient iterates either to convergence or ..."
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Cited by 21 (1 self)
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The approximate minimization of a quadratic function within an ellipsoidal trust region is an important subproblem for many nonlinear programming methods. When the number of variables is large, the most widelyused strategy is to trace the path of conjugate gradient iterates either to convergence or until it reaches the trustregion boundary. In this paper, we investigate ways of continuing the process once the boundary has been encountered. The key is to observe that the trustregion problem within the currently generated Krylov subspace has very special structure which enables it to be solved very efficiently. We compare the new strategy with existing methods. The resulting software package is available as HSL VF05 within the Harwell Subroutine Library. 1 Department for Computation and Information, Rutherford Appleton Laboratory, Chilton, Oxfordshire, OX11 0QX, England, EU Email : n.gould@rl.ac.uk 2 Current reports available by anonymous ftp from joyousgard.cc.rl.ac.uk (internet ...
Analysis of Inexact TrustRegion SQP Algorithms
 RICE UNIVERSITY, DEPARTMENT OF
, 2000
"... In this paper we extend the design of a class of compositestep trustregion SQP methods and their global convergence analysis to allow inexact problem information. The inexact problem information can result from iterative linear systems solves within the trustregion SQP method or from approximatio ..."
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Cited by 17 (2 self)
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In this paper we extend the design of a class of compositestep trustregion SQP methods and their global convergence analysis to allow inexact problem information. The inexact problem information can result from iterative linear systems solves within the trustregion SQP method or from approximations of firstorder derivatives. Accuracy requirements in our trustregion SQP methods are adjusted based on feasibility and optimality of the iterates. Our accuracy requirements are stated in general terms, but we show how they can be enforced using information that is already available in matrixfree implementations of SQP methods. In the absence of inexactness our global convergence theory is equal to that of Dennis, ElAlem, Maciel (SIAM J. Optim., 7 (1997), pp. 177207). If all iterates are feasible, i.e., if all iterates satisfy the equality constraints, then our results are related to the known convergence analyses for trustregion methods with inexact gradient information fo...
Combining Trust Region and Line Search Techniques
"... We propose an algorithm for nonlinear optimization that employs both trust region techniques and line searches. Unlike traditional trust region methods, our algorithm does not resolve the subproblem if the trial step results in an increase in the objective function, but instead performs a backtr ..."
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Cited by 17 (3 self)
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We propose an algorithm for nonlinear optimization that employs both trust region techniques and line searches. Unlike traditional trust region methods, our algorithm does not resolve the subproblem if the trial step results in an increase in the objective function, but instead performs a backtracking line search from the failed point. Backtracking can be done along a straight line or along a curved path. We show that the new algorithm preserves the strong convergence properties of trust region methods. Numerical results are also presented.
Multilevel Algorithms for Nonlinear Optimization
 in Optimal Design and Control
, 1994
"... Multidisciplinary design optimization (MDO) gives rise to nonlinear optimization problems characterized by a large number of constraints that naturally occur in blocks. We propose a class of multilevel optimization methods motivated by the structure and number of constraints and by the expense of th ..."
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Cited by 11 (5 self)
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Multidisciplinary design optimization (MDO) gives rise to nonlinear optimization problems characterized by a large number of constraints that naturally occur in blocks. We propose a class of multilevel optimization methods motivated by the structure and number of constraints and by the expense of the derivative computations for MDO. The algorithms are an extension to the nonlinear programming problem of the successful class of local BrownBrent algorithms for nonlinear equations. Our extensions allow the user to partition constraints into arbitrary blocks to fit the application, and they separately process each block and the objective function, restricted to certain subspaces. The methods use trust regions as a globalization startegy, and they have been shown to be globally convergent under reasonable assumptions. The multilevel algorithms can be applied to all classes of MDO formulations. Multilevel algorithms for solving nonlinear systems of equations are a special case of the multil...
Analysis of Inexact TrustRegion InteriorPoint SQP Algorithms
, 1995
"... In this paper we analyze inexact trustregion interiorpoint (TRIP) sequential quadratic programming (SQP) algorithms for the solution of optimization problems with nonlinear equality constraints and simple bound constraints on some of the variables. Such problems arise in many engineering applicati ..."
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Cited by 11 (7 self)
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In this paper we analyze inexact trustregion interiorpoint (TRIP) sequential quadratic programming (SQP) algorithms for the solution of optimization problems with nonlinear equality constraints and simple bound constraints on some of the variables. Such problems arise in many engineering applications, in particular in optimal control problems with bounds on the control. The nonlinear constraints often come from the discretization of partial differential equations. In such cases the calculation of derivative information and the solution of linearized equations is expensive. Often, the solution of linear systems and derivatives are computed inexactly yielding nonzero residuals. This paper analyzes the effect of the inexactness onto the convergence of TRIP SQP and gives practical rules to control the size of the residuals of these inexact calculations. It is shown that if the size of the residuals is of the order of both the size of the constraints and the trustregion radius, t...