Augmented Lagrangian method with nonmonotone penalty parameters for constrained optimization

At each outer iteration of standard Augmented Lagrangian methods one tries to solve a box-constrained optimization problem with some prescribed tolerance. In the continuous world, using exact arithmetic, this subproblem is always solvable. Therefore, the possibility of finishing the subproblem resolution without satisfying the theoretical stopping conditions is not contemplated in usual convergence theories. However, in practice, one might not be able to solve the subproblem up to the required precision. This may be due to different reasons. One of them is that the presence of an excessively large penalty parameter could impair the performance of the box-constraint optimization solver. In this paper a practical strategy for decreasing the penalty parameter in situations like the one mentioned above is proposed. More generally, the different decisions that may be taken when, in practice, one is not able to solve the Augmented Lagrangian subproblem will be discussed. As a result, an improved Augmented Lagrangian method is presented, which takes into account numerical difficulties in a satisfactory way, preserving suitable convergence theory. Numerical experiments are presented involving all the CUTEr collection test problems.

Evaluating bound-constrained minimization software

Bound-constrained minimization is a subject of active research. To assess the performance of existent solvers, numerical evaluations and comparisons are carried on. Arbitrary decisions that may have a crucial effect on the conclusions of numerical experiments are highlighted in the present work. As a result, a detailed evaluation based on performance profiles is applied to the comparison of bound-constrained minimization solvers. Extensive numerical results are presented and analyzed.

Multiobjective Biogeography-Based Optimization Based on Predator-Prey Approach

Biogeography is the science that studies the geographical distribution and the migration of species in an ecosystem. Biogeography-based optimization (BBO) is a recently developed global optimization algorithm as a generalization of biogeography to evolutionary algorithm and has shown its ability to solve complex optimization problems. BBO employs a migration operator to share information between the problem solutions. The problem solutions are identified as habitat, and the sharing of features is called migration. In this paper, a multiobjective BBO, combined with a predator-prey (PPBBO) approach, is proposed and validated in the constrained design of a brushless dc wheel motor. The results demonstrated that the proposed PPBBO approach converged to promising solutions in terms of quality and dominance when compared with the classical BBO in a multiobjective version.

The boundedness of penalty parameters in an augmented Lagrangian method with constrained subproblems

Augmented Lagrangian methods are effective tools for solving large-scale nonlinear programming problems. At each outer iteration, a minimization subproblem with simple constraints, whose objective function depends on updated Lagrange multipliers and penalty parameters, is approximately solved. When the penalty parameter becomes very large, solving the subproblem becomes difficult; therefore, the effectiveness of this approach is associated with the boundedness of the penalty parameters. In this paper, it is proved that under more natural assumptions than the ones employed until now, penalty parameters are bounded. For proving the new boundedness result, the original algorithm has been slightly modified. Numerical consequences of the modifications are discussed and computational experiments are presented.