Stochastic Approximation Algorithms for Constrained Optimization via Simulation

We develop four algorithms for simulation-based optimization under multiple inequality constraints. Both the cost and the constraint functions are considered to be long-run averages of certain state-dependent single-stage functions. We pose the problem in the simulation optimization framework by using the Lagrange multiplier method. Two of our algorithms estimate only the gradient of the Lagrangian, while the other two estimate both the gradient and the Hessian of it. In the process, we also develop various new estimators for the gradient and Hessian. All our algorithms use two simulations each. Two of these algorithms are based on the smoothed functional (SF) technique, while the other two are based on the simultaneous perturbation stochastic approximation (SPSA) method. We prove the convergence of our algorithms and show numerical experiments on a setting involving an open Jackson network. The Newton-based SF algorithm is seen to show the best overall performance.

Constrained optimization of heat exchangers

Optimizing a shell and tube heat exchanger for a given duty is an important and relatively difficult task. There is a need for a simple, general and reliable method for realizing this task. The authors present here one such method for optimizing single phase shell-and-tube heat exchangers with given geometric and thermohydraulic constraints. They discuss the problem in detail. Then they introduce a basic algorithm for optimizing the exchanger. This algorithm is based on data from an earlier study of a large collection of feasible designs generated for different process specifications. The algorithm ensures a near-optimal design satisfying the given heat duty and geometric constraints. The authors also provide several sub-algorithms to satisfy imposed velocity limitations. They illustrate how useful these sub-algorithms are with several examples where the exchanger weight is minimized.

Optimum steering input determination and path-tracking of all-wheel steer vehicles on uneven terrains based on constrained optimization

In this paper we propose a framework for optimum steering input determination of all-wheel steer vehicles (AWSV) on rough terrains. The framework computes the steering input which minimizes the tracking error for a given trajectory. Unlike previous methodologies of computing steering inputs of car-like vehicles, the proposed methodology depends explicitly on the vehicle dynamics and can be extended to vehicle having arbitrary number of steering inputs. A fully generic framework has been used to derive the vehicle dynamics and a non-linear programming based constrained optimization approach has been used to compute the steering input considering the instantaneous vehicle dynamics, no-slip and contact constraints of the vehicle. All Wheel steer Vehicles have a special parallel steering ability where the instantaneous centre of rotation (ICR) is at infinity. The proposed framework automatically enables the vehicle to choose between parallel steer and normal operation depending on the error with respect to the desired trajectory. The efficacy of the proposed framework is proved by extensive uneven terrain simulations, for trajectories with continuous or discontinuous velocity profile.

A Constrained Optimization Approach to Dynamic State Estimation for Power Systems Including PMU and Missing Measurements.

In this brief, a hybrid filter algorithm is developed to deal with the state estimation (SE) problem for power systems by taking into account the impact from the phasor measurement units (PMUs). Our aim is to include PMU measurements when designing the dynamic state estimators for power systems with traditional measurements. Also, as data dropouts inevitably occur in the transmission channels of traditional measurements from the meters to the control center, the missing measurement phenomenon is also tackled in the state estimator design. In the framework of extended Kalman filter (EKF) algorithm, the PMU measurements are treated as inequality constraints on the states with the aid of the statistical criterion, and then the addressed SE problem becomes a constrained optimization one based on the probability-maximization method. The resulting constrained optimization problem is then solved using the particle swarm optimization algorithm together with the penalty function approach. The proposed algorithm is applied to estimate the states of the power systems with both traditional and PMU measurements in the presence of probabilistic data missing phenomenon. Extensive simulations are carried out on the IEEE 14-bus test system and it is shown that the proposed algorithm gives much improved estimation performances over the traditional EKF method.

Partial spectral projected gradient method with active-set strategy for linearly constrained optimization

A method for linearly constrained optimization which modifies and generalizes recent box-constraint optimization algorithms is introduced. The new algorithm is based on a relaxed form of Spectral Projected Gradient iterations. Intercalated with these projected steps, internal iterations restricted to faces of the polytope are performed, which enhance the efficiency of the algorithm. Convergence proofs are given and numerical experiments are included and commented. Software supporting this paper is available through the Tango Project web page: http://www.ime.usp.br/similar to egbirgin/tango/.

Second-order negative-curvature methods for box-constrained and general constrained optimization

A Nonlinear Programming algorithm that converges to second-order stationary points is introduced in this paper. The main tool is a second-order negative-curvature method for box-constrained minimization of a certain class of functions that do not possess continuous second derivatives. This method is used to define an Augmented Lagrangian algorithm of PHR (Powell-Hestenes-Rockafellar) type. Convergence proofs under weak constraint qualifications are given. Numerical examples showing that the new method converges to second-order stationary points in situations in which first-order methods fail are exhibited.

Outer Trust-Region Method for Constrained Optimization

Given an algorithm A for solving some mathematical problem based on the iterative solution of simpler subproblems, an outer trust-region (OTR) modification of A is the result of adding a trust-region constraint to each subproblem. The trust-region size is adaptively updated according to the behavior of crucial variables. The new subproblems should not be more complex than the original ones, and the convergence properties of the OTR algorithm should be the same as those of Algorithm A. In the present work, the OTR approach is exploited in connection with the ""greediness phenomenon"" of nonlinear programming. Convergence results for an OTR version of an augmented Lagrangian method for nonconvex constrained optimization are proved, and numerical experiments are presented.

An alternative approach to understanding second-order conditions for constrained optimization - lagrange multipliers

This paper presents an alternative approach to solving a standard problem, frequently encountered in advanced microeconomics, using the technique of Lagrange multipliers. The objective is to enhance the understanding of students as to the derivation of the second-order conditions.

Bearing-only localization using geometrically constrained optimization

We examine the problem of optimal bearing-only localization of a single target using synchronous measurements from multiple sensors. We approach the problem by forming geometric relationships between the measured parameters and their corresponding errors in the relevant emitter localization scenarios. Specifically, we derive a geometric constraint equation on the measurement errors in such a scenario. Using this constraint, we formulate the localization task as a constrained optimization problem that can be performed on the measurements in order to provide the optimal values such that the solution is consistent with the underlying geometry. We illustrate and confirm the advantages of our approach through simulation, offering detailed comparison with traditional maximum likelihood (TML) estimation.

Constrained optimization model for the design of an adaptive (X)over-bar chart

An economic-statistical model is developed for variable parameters (VP) (X) over bar charts in which all design parameters vary adaptively, that is, each of the design parameters (sample size, sampling interval and control-limit width) vary as a function of the most recent process information. The cost function due to controlling the process quality through a VP (X) over bar chart is derived. During the optimization of the cost function, constraints are imposed on the expected times to signal when the process is in and out of control. In this way, required statistical properties can be assured. Through a numerical example, the proposed economic-statistical design approach for VP (X) over bar charts is compared to the economic design for VP (X) over bar charts and to the economic-statistical and economic designs for fixed parameters (FP) (X) over bar charts in terms of the operating cost and the expected times to signal. From this example, it is possible to assess the benefits provided by the proposed model. Varying some input parameters, their effect on the optimal cost and on the optimal values of the design parameters was analysed.