Smooth methods of multipliers for complementarity problems

In this dissertation we develop numerical algorithms and software tools to facilitate parallel solutions of nonlinear programming (NLP) problems. In particular, we address large-scale, block-structured problems with an intrinsic decomposable configuration. These problems arise in a great number of engineering applications, including parameter estimation, optimal control, network optimization, and stochastic programming. The structure of these problems can be leveraged by optimization solvers to accelerate solutions and overcome memory limitations, and we propose variants to two classes of optimization algorithms: augmented Lagrangian (AL) schemes and Schur-complement interior-point methods. The convergence properties of augmented Lagrangian decomposition schemes like the alternating direction method of multipliers (ADMM) and progressive hedging (PH) are well established for convex optimization but convergence guarantees in non-convex settings are still poorly understood. In practice, however, ADMM and PH often perform satisfactorily in complex non-convex NLPs. In this work, we study connections between the method of multipliers (MM), ADMM, and PH to derive benchmarking metrics that explain why PH and ADMM work in practice. We illustrate the concepts using challenging dynamic optimization problems. Our exposition seeks to establish more formalism in benchmarking ADMM, PH, and AL schemes and to motivate algorithmic improvements. The effectiveness of nonlinear interior-point solvers for solving large-scale problems relies quite heavily on the solution of the underlying linear algebra systems. The schur-complement decomposition is very effective for parallelizing the solution of linear systems with modest coupling. However, for systems with large number of coupling variables the schur-complement method does not scale favorably. We implement an approach that uses a Krylov solver (GMRES) preconditioned with ADMM to solve block-structured linear systems that arise in the interior-point method. We show that this ADMM-GMRES approach overcomes the well-known scalability issues of Schur decomposition. One important drawback of using decomposition approaches like ADMM and PH is their convergence rate. Unlike Schur-complement interior-point algorithms that have super-linear convergence, augmented Lagrangian approaches typically exhibit linear and sublinear rates. We exploit connections between ADMM and the Schur-complement decomposition to derive an accelerated version of ADMM. Specifically, we study the effectiveness of performing a Newton-Raphson algorithm to compute multiplier estimates for augmented Lagrangian methods. We demonstrate using two-stage stochastic programming problems that our multiplier update achieves convergence in fewer iterations for MM on general nonlinear problems. In the case of ADMM, the newton update significantly reduces the number of subproblem solves for convex quadratic programs (QPs). Moreover, we show that using newton multiplier updates makes the method robust to the selection of the penalty parameter. Traditionally, state-of-the-art optimization solvers are implemented in low-level programming languages. In our experience, the development of decomposition algorithms in these frameworks is challenging. They present a steep learning curve and can slow the development and testing of new numerical algorithms. To mitigate these challenges, we developed PyNumero, a new open source framework implemented in Python and C++. The package seeks to facilitate development of optimization algorithms for large-scale optimization within a high-level programming environment while at the same time minimizing the computational burden of using Python. The efficiency of PyNumero is illustrated by implementing algorithms for problems arising in stochastic programming and optimal control. Timing results are presented for both serial and parallel implementations. Our computational studies demonstrate that with the appropriate balance between compiled code and Python, efficient implementations of optimization algorithms are achievable in these high-level languages.

<p style='text-indent:20px;'>Total generalization variation (TGV) is a very powerful and important regularization for various inverse problems and computer vision tasks. In this paper, we propose a semismooth Newton based augmented Lagrangian method for solving this problem. The augmented Lagrangian method (also called as method of multipliers) is widely used for lots of smooth or nonsmooth variational problems. However, its efficiency heavily depends on solving the corresponding coupled and nonlinear system together and simultaneously. With efficient primal-dual semismooth Newton methods for the challenging and highly coupled nonlinear subproblems involving total generalized variation, we develop a highly efficient and competitive augmented Lagrangian method compared with some fast first-order method. With the analysis of the metric subregularities of the corresponding functions, we give both the global convergence and local linear convergence rate for the proposed augmented Lagrangian methods.</p>

This chapter introduces two very important concepts in constrained nonlinear optimization. These are penalty and augmented Lagrangian concepts. The idea is that both these concepts replace the original problem by a sequence of sub-problems in which the constraints are expressed by terms added to the objective function. The penalty concept is implemented in two different methods. The quadratic penalty method adds to the objective function a multiple of the square of the violation of each constraint and solves a sequence of unconstrained optimization sub-problems. Simple and enough intuitive, this approach has some important deficiencies. The nonsmooth exact penalty method, on the other hand, solves a single unconstrained optimization problem. In this approach, a popular function is the l1 penalty function. The problem with this method is that the nonsmoothness may create complications in numerical implementations. Finally, the second concept is the multiplier method or the augmented Lagrangian method, which explicitly uses Lagrange multiplier estimates in order to avoid the ill-conditioning of the quadratic penalty method.

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.

In this paper a fully explicit finite element method (FEFEM) is presented for solving steady incompressible viscous flow problems. This full explicitness is achieved by combining the multiplier (or augmented Lagrangian) method with a pseudo‐time‐iteration method. FEFEM needs no global matrix at all and is of great advantage to large‐scale problems because they can be solved within the limit of core memory.The optimum choice of a time increment and a penalty parameter is discussed and the driven cavity flow at a Reynolds number of 1000 is computed with a refined mesh (60 × 60 elements).

In this paper, we propose an image segmentation model where an $L^1$ variant of the Euler's elastica energy is used as boundary regularization. An interesting feature of this model lies in its preference for convex segmentation contours. However, due to the high order and non-differentiability of Euler's elastica energy, it is nontrivial to minimize the associated functional. As in recent work on the ordinary $L^2$-Euler's elastica model in imaging, we propose using an augmented Lagrangian method to tackle the minimization problem. Specifically, we design a novel augmented Lagrangian functional that deals with the mean curvature term differently than in previous works. The new treatment reduces the number of Lagrange multipliers employed, and more importantly, it helps represent the curvature more effectively and faithfully. Numerical experiments validate the efficiency of the proposed augmented Lagrangian method and also demonstrate new features of this particular segmentation model, such as shape driven and data driven properties.

A deterministic global optimization algorithm based on augmented Lagrangian is proposed for solving the nonlinear programming with cone constraints, which is often encountered in technical design and operational research. At each outer iteration, the method requires the -global minimization of the augmented Lagrangian of problems with cone constraints, where. The convergence to an-global minimizer of the original problem is proved. Key words: Global optimization, augmented Lagrangians, cone optimization, algorithms.

ABSTRACTThe proximal method of multipliers was proposed by Rockafellar [Augmented Lagrangians and applications of the proximal point algorithm in convex programming. Math Oper Res. 1976;1:97–116] for solving convex programming and it is a kind of proximal point method applied to convex programming. In this paper, we apply this method for solving nonlinear semidefinite programming problems, in which subproblems have better properties than those from the augmented Lagrange method. We prove that, under the linear independence constraint qualification and the strong second-order sufficiency optimality condition, the rate of convergence of the proximal method of multipliers, for a nonlinear semidefinite programming problem, is linear and the ratio constant is proportional to 1/c, where c is the penalty parameter that exceeds a threshold . Moreover, the rate of convergence of the proximal method of multipliers is superlinear when the parameter c increases to .

A hybrid differential evolution augmented Lagrangian method for constrained numerical and engineering optimization

The calibration of volatility models from observable option prices is a fundamental problem in quantitative finance. The most common approach among industry practitioners is based on the celebrated Dupire's formula [6], which requires the knowledge of vanilla option prices for a continuum of strikes and maturities that can only be obtained via some form of price interpolation. In this paper, we propose a new local volatility calibration technique using the theory of optimal transport. We formulate a time continuous martingale optimal transport problem, which seeks a martingale diffusion process that matches the known densities of an asset price at two different dates, while minimizing a chosen cost function. Inspired by the seminal work of Benamou and Brenier [1], we formulate the problem as a convex optimization problem, derive its dual formulation, and solve it numerically via an augmented Lagrangian method and the alternative direction method of multipliers (ADMM) algorithm. The solution effectively reconstructs the dynamic of the asset price between the two dates by recovering the optimal local volatility function, without requiring any time interpolation of the option prices.

The performance of a new implementation of the augmented Lagrangian method is evaluated on a range of explicit and structural sizing optimization problems. The results are compared with those obtained using other mathematical programming methods. The implementation uses a first-order Lagrange multiplier update and the Hessian of the augmented Lagrangian function is approximated using partitioned secant updating. A number of different secant updates are evaluated. The results show the formulation to be superior to other implementations of augmented Lagrangian methods reported in the literature and that, under certain conditions, the method approaches the performance of the state-of-the-art SQP and SAM methods. Of the secant updates, the symmetric-rank-one update, is superior to the other updates including the BFGS scheme. It is suggested that the individual function, secant updating employed may be usefully applied in contexts where structural analysis and optimization are performed simultaneously, as in the simultaneous analysis and design method. In such cases the functions are partially separable and the associated Hessians are of low rank.

Computational modeling of the heart is a subject of substantial medical and scientific interest, which may contribute to increase the understanding of several phenomena associated with cardiac physiological and pathological states. Modeling the mechanics of the heart have led to considerable insights, but it still represents a complex and a demanding computational problem, especially in a strongly coupled electromechanical setting. Passive cardiac tissue is commonly modeled as hyperelastic and is characterized by quasi-incompressible, orthotropic, and nonlinear material behavior. These factors are known to be very challenging for the numerical solution of the model. The near-incompressibility is known to cause numerical issues such as the well-known locking phenomenon and ill-conditioning of the stiffness matrix. In this work, the augmented Lagrangian method is used to handle the nearly incompressible condition. This approach can potentially improve computational performance by reducing the condition number of the stiffness matrix and thereby improving the convergence of iterative solvers. We also improve the performance of iterative solvers by the use of an algebraic multigrid preconditioner. Numerical results of the augmented Lagrangian method combined with a preconditioned iterative solver for a cardiac mechanics benchmark suite are presented to show its improved performance.

We introduce a twice differentiable augmented Lagrangian for nonlinear optimization with general inequality constraints and show that a strict local minimizer of the original problem is an approximate strict local solution of the augmented Lagrangian. A novel augmented Lagrangian method of multipliers (ALM) is then presented. Our method is originated from a generalization of the Hestenes-Powell augmented Lagrangian, and is a combination of the augmented Lagrangian and the interior-point technique. It shares a similar algorithmic framework with existing ALMs for optimization with inequality constraints, but it can use the second derivatives and does not depend on projections on the set of inequality constraints. In each iteration, our method solves a twice continuously differentiable unconstrained optimization subproblem on primal variables. The dual iterates, penalty and smoothing parameters are updated adaptively. The global and local convergence are analyzed. Without assuming any constraint qualification, it is proved that the proposed method has strong global convergence. The method may converge to either a Karush-Kuhn-Tucker (KKT) point or a singular stationary point when the converging point is a minimizer. It may also converge to an infeasible stationary point of nonlinear program when the problem is infeasible. Furthermore, our method is capable of rapidly detecting the possible infeasibility of the solved problem. Under suitable conditions, it is locally linearly convergent to the KKT point, which is consistent with ALMs for optimization with equality constraints. The preliminary numerical experiments on some small benchmark test problems demonstrate our theoretical results.

This paper presents a new point-to-face contact algorithm for contacts between two polyhedrons with planar boundaries. A new discrete numerical method called three-dimensional discontinuous deformation analysis (3-D DDA) is used and formulations of normal contact submatrices based on the proposed algorithm are derived. The presented algorithm is a simple and efficient method and it can be easily coded into a computer program. This approach does not need to use an iterative algorithm in each time step to obtain the contact plane, unlike the ‘Common-Plane’ method applied in the existing 3-D DDA. In the present 3-D DDA method, block contact constraints are enforced using the penalty method. This approach is quite simple, but may lead to inaccuracies that may be large for small values of the penalty number. The penalty method also creates block contact overlap, which violates the physical constraints of the problem. These limitations are overcome by using the augmented Lagrangian method that is used for normal contacts in this research. This point-to-face contact model has been programmed and some illustrative examples are provided to demonstrate the new contact rule between two blocks. A comparison between results obtained by using the augmented Lagrangian method and the penalty method is presented as well.

The augmented Lagrangian method (ALM) is a classical optimization tool that solves a given “difficult” (constrained) problem via finding solutions of a sequence of “easier” (often unconstrained) subproblems with respect to the original (primal) variable, wherein constraints satisfaction is controlled via the so-called dual variables. ALM is highly flexible with respect to how primal subproblems can be solved, giving rise to a plethora of different primal–dual methods. The powerful ALM mechanism has recently proved to be very successful in various large-scale and distributed applications. In addition, several significant advances have appeared, primarily on precise complexity results with respect to computational and communication costs in the presence of inexact updates and design and analysis of novel optimal methods for distributed consensus optimization. We provide a tutorial-style introduction to ALM and its variants for solving convex optimization problems in large-scale and distributed settings. We describe control-theoretic tools for the algorithms’ analysis and design, survey recent results, and provide novel insights into the context of two emerging applications: federated learning and distributed energy trading.