Regularized symmetric indefinite systems in interior point methods for linear and quadratic optimization*

In this paper we combine an infeasible Interior Point Method (IPM) with the Proximal Method of Multipliers (PMM). The resulting algorithm (IP-PMM) is interpreted as a primal-dual regularized IPM, suitable for solving linearly constrained convex quadratic programming problems. We apply few iterations of the interior point method to each sub-problem of the proximal method of multipliers. Once a satisfactory solution of the PMM sub-problem is found, we update the PMM parameters, form a new IPM neighbourhood and repeat this process. Given this framework, we prove polynomial complexity of the algorithm, under standard assumptions. To our knowledge, this is the first polynomial complexity result for a primal-dual regularized IPM. The algorithm is guided by the use of a single penalty parameter; that of the logarithmic barrier. In other words, we show that IP-PMM inherits the polynomial complexity of IPMs, as well as the strict convexity of the PMM sub-problems. The updates of the penalty parameter are controlled by IPM, and hence are well-tuned, and do not depend on the problem solved. Furthermore, we study the behavior of the method when it is applied to an infeasible problem, and identify a necessary condition for infeasibility. The latter is used to construct an infeasibility detection mechanism. Subsequently, we provide a robust implementation of the presented algorithm and test it over a set of small to large scale linear and convex quadratic programming problems. The numerical results demonstrate the benefits of using regularization in IPMs as well as the reliability of the method.

Although the classical LQR design method has been very successful in real world engineering designs, in some cases, the classical design method needs modifications because of the saturation in actuators. This modified problem is sometimes called the constrained LQR design. For discrete systems, the constrained LQR design problem is equivalent to a convex quadratic programming problem with box constraints. We will show that the interior-point method is very efficient for this problem because an initial interior point is available, a condition which is not true for general convex quadratic programming problem. We will devise an effective and efficient algorithm for the constrained LQR design problem using the special structure of the box constraints and a recently introduced arc-search technique for the interior-point algorithm. We will prove that the algorithm is polynomial and has the best-known complexity bound for the convex quadratic programming. The proposed algorithm is implemented in MATLAB. An example for the constrained LQR design is provided to show the effectiveness and efficiency of the design method. The proposed algorithm can easily be used for model predictive control.

"Game Theory-Mathematical Models of Conflict." Journal of the Operational Research Society, 31(11), pp. 1050–1051

Due to the possible lack of primal-dual-type error bounds, it was not clear whether the Karush–Kuhn–Tucker (KKT) residuals of the sequence generated by the augmented Lagrangian method (ALM) for solving convex composite conic programming (CCCP) problems converge superlinearly. In this paper, we resolve this issue by establishing the R-superlinear convergence of the KKT residuals generated by the ALM under only a mild quadratic growth condition on the dual of CCCP, with easy-to-implement stopping criteria for the augmented Lagrangian subproblems. This discovery may help to explain the good numerical performance of several recently developed semismooth Newton-CG based ALM solvers for linear and convex quadratic semidefinite programming.

The next generation (NextGen) transport aircraft configurations being investigated as part of the NASA Aeronautics Subsonic Fixed Wing Project have more control surfaces, or control effectors, than existing transport aircraft configurations. Conventional flight control is achieved through two symmetric elevators, two antisymmetric ailerons, and a rudder. The five control surfaces, reduced to three command variables, produce moments along the three main axes of the aircraft and enable the pilot to control the attitude of the aircraft. Next generation aircraft will have additional redundant control effectors to control the three moments, creating a situation where the aircraft is over-actuated and where a simple relationship no longer exists between the required control surface deflections and the desired moments. NextGen flight controllers will incorporate control allocation algorithms to determine the optimal effector commands to attain the desired moments, taking into account the effector limits. Approaches to solving the problem using linear programming and quadratic programming algorithms have been proposed and tested. It is of great interest to understand their relative advantages and disadvantages and how design parameters may affect their properties. In this paper, we investigate the sensitivity of the effector commands with respect to the desired moments and show on some examples the sensitivity of the solutions provided by the linear programming and quadratic programming methods.

This paper presents a new interior point quadratic programming algorithm which can solve power system optimization problems with significantly less computational efforts. The proposed algorithm has the following two special features. First, it is based on the path-following interior point algorithm whose search direction is the Newton direction, and therefore the algorithm has quadratic convergence. In the second place, it solves directly a symmetric indefinite system and thus the algorithm avoids the formation of [AD/sup -1/A/sup T/] and as a result generates fewer fill-ins than the case of factorizing the positive definite system matrix for large scale systems. This has brought about a profound speed-up. Since the formula of the interior point method have been deduced more generally, the proposed algorithm can start from either a feasible (interior point) or an infeasible point (noninterior point). Numerical results on the IEEE test systems and a Japanese 344 bus system have verified that the proposed algorithm possesses enough robustness and needs significantly less solution time compared with already reported applications of the interior point method.

Validation of measurement data using an interior point SQP

: A globally convergent primal-dual predictor corrector interior point algorithm for linear programming has been developed.

Quadratic programming (QP) is a family of methods, techniques, and algorithms that can be used to minimize quadratic objective functions subject to linear constraints. QP shares many combinatorial features with linear programming (LP) and it is often used as the basis of constrained nonlinear programming. An important branch of QP is convex QP where the objective function is a convex quadratic function.

This paper establishes a framework for solving some optimization problems with linear constraints using simplex-type methods. The problems include those found in linear programs, linear fractional programs, and generalized linear fractional programs. In this study, these problems refer to a standard form of minimizing a single parameter subject to parameterized linear equations. Based on the analysis of parameterized basis-based solutions, a unified simplex-type approach is proposed. The adaptability of the parameterized model and that of the solution procedure are discussed. In particular, the proposed algorithm can prevent cycling when compared with the conventional simplex method used for solving linear programs.

Simulating (elastically) deformable models that can collide with each other and with the environment remains a challenging task. The resulting contact problems can be elegantly approached using Lagrange multipliers to represent the unknown magnitude of the response forces. Typical methods construct and solve a Linear Complementarity Problem (LCP) to obtain the response forces. This requires the inverse of the generalized mass matrix, which is generally hard to obtain for deformable-body problems. In this article, we tackle such contact problems by directly solving the Mixed Linear Complementarity Problem (MLCP) and omitting the construction of an LCP matrix. Since a convex quadratic program with linear constraints is equivalent to an MLCP, we propose to use a Conjugate Residual (CR) solver as the backbone of our collision response system. By dynamically updating the set of active constraints, the MLCP with inequality constraints can be solved efficiently. We also propose a simple yet efficient preconditioner that ensures faster convergence. Finally, our approach is faster than existing methods (at the same accuracy), and it allows accurate treatment of friction.

Considering the soft constraint characteristics of voltage constraints, the Interior-Point Filter Algorithm is applied to solve the formulation of fuzzy model for the power system reactive power optimization with a large number of equality and inequality constraints. Based on the primal-dual interior-point algorithm, the algorithm maintains an updating “filter” at each iteration in order to decide whether to admit correction of iteration point which can avoid effectively oscillation due to the conflict between the decrease of objective function and the satisfaction of constraints and ensure the global convergence. Moreover, the “filter” improves computational efficiency because it filters the unnecessary iteration points. The calculation results of a practical power system indicate that the algorithm can effectively deal with the large number of inequality constraints of the fuzzy model of reactive power optimization and satisfy the requirement of online calculation which realizes to decrease the network loss and maintain specified margins of voltage.

When applying the sequential quadratic programming (SQP) algorithm to topology optimization, using the quasi-Newton methods or calculating the Hessian matrix directly will result in a considerable amount of calculation, making it computationally infeasible when the number of optimization variables is large. To solve the above problems, this paper creatively proposes a method for calculating the approximate Hessian matrix for structural topology optimization with minimum compliance problems. Then, the second-order Taylor expansion transforms the original problem into a series of separable and easy-to-solve convex quadratic programming (QP) subproblems. Finally, the quadratic programming optimality criteria (QPOC) method and the QP solver of MATLAB are used to solve the subproblems. Compared with other sequential quadratic programming methods, the advantage of the proposed method is that the Hessian matrix is diagonally positive definite and its calculation is simple. Numerical experiments on an MBB beam and cantilever beam verify the feasibility and efficiency of the proposed method.

Complexity analysis and numerical implementation of a short-step primal-dual algorithm for linear complementarity problems

Understanding what cannot be seen is difficult. Physical behavior can be explained on the basis of physical theories even if the behavior cannot be observed. Explanation of what is physically happening in the real world would become easy, however, if annotations were superimposed on the real objects. Herein, the authors demonstrate how an understanding of a physical event can be facilitated by overlapping a real-world situation with a simulation that predicts a future state. This idea is demonstrated in a game application in which a player stacks blocks into a pile until it collapses. In general, it is easy to estimate whether a block on the edge of a table will fall or not. However, it is more difficult to predict whether a stack of many blocks will collapse, and in what manner the stack will collapse. Even though previous research has demonstrated that the problem of how two-dimensionally stacked blocks collapse can be reduced to solving a sequence of convex quadratic programs, algorithms for convex quadratic programs require massive computational resources. Hence, the authors developed a fast and new algorithm based on a linear program. The proposed algorithm realizes real-time simulation based on physics that superimposes predicted collapse. The block that is predicted to fall is superimposed on the real block with a lit background projection. The system was evaluated in an experiment, and superimposed augmented reality annotation was observed to be efficient. The system was also demonstrated in game contests and received positive feedback and comments.