一种求解非线性约束优化全局最优的新方法

本文提出了一种求解非线性约束优化的全局最优的新方法—它是基于利用非线性互补函数和不断增加新的约束来重复解库恩-塔克条件的非线性方程组的新方法。因为库恩-塔克条件是非线性约束优化的必要条件,得到的解未必是非线性约束优化的全局最优解,为此,本文首次给出了通过利用该优化问题的先验知识,不断地增加约束来限制全局最优解范围的方法,一些仿真例子表明提出的方法和理论有效的,并且可行的。     

An unconstrained optimization approach to empirical mode decomposition

Empirical mode decomposition (EMD) is an adaptive (data-driven) method to decompose non-linear and non-stationary signals into AM-FM components. Despite its well-known usefulness, one of the major EMD drawbacks is its lack of mathematical foundation, being defined as an algorithm output. In this paper we present an alternative formulation for the EMD method, based on unconstrained optimization. Unlike previous optimization-based efforts, our approach is simple, with an analytic solution, and its algorithm can be easily implemented. By making no explicit use of envelopes to find the local mean, possible inherent problems of the original EMD formulation (such as the under- and overshoot) are avoided. Classical EMD experiments with artificial signals overlapped in both time and frequency are revisited, and comparisons with other optimization-based approaches to EMD are made, showing advantages for our proposal both in recovering known components and computational times. A voice signal is decomposed by our method evidencing some advantages in comparison with traditional EMD and noise-assisted versions. The new method here introduced catches most flavors of the original EMD but with a more solid mathematical framework, which could lead to explore analytical properties of this technique.     

An optimization approach to nonlinear diagnostic filter synthesis

We consider the synthesis problem for diagnostic filters based on nonlinear models of the systems being diagnosed. To solve the problem, we propose a new approach that unites the methods of algebra of functions and differential geometry when performing a nonlinear transformation of the original mathematical model for the diagnosed system with linear optimization techniques. An advantage of the proposed approach is that it overcomes principled obstacles of existing diagnostic filter synthesis methods and gets a solution for systems with parametric uncertainties.     

Two-layer particle swarm optimization for unconstrained optimization problems

In this article, a two-layer particle swarm optimization (TLPSO) is proposed to increase the diversity of the particles so that the drawback of trapping in a local optimum is avoided. In order to design the TLPSO, a structure with two layers (top layer and bottom layer) is proposed so that M swarms of particles and one swarm of particles are generated in the bottom layer and the top layer, respectively. Each global best position in each swarm of the bottom layer is set to be the position of the particle in the swarm of the top layer. Therefore, the global best position in the swarm of the top layer influences indirectly the particles of each swarm in the bottom layer so that the diversity of the particles increases to avoid trapping into a local optimum. Besides, a mutation operation is added into the particles of each swarm in the bottom layer so that the particles leap the local optimum to find the global optimum. Finally, some optimization problems of different types of high dimensional functions are used to illustrate the efficiency of the proposed method.     

An approach to solution uniqueness in game problems

A new concept of strong conflict equilibrium is proposed that supplements the well-known fundamental system of conflict equilibria and considerably increases the possibility of finding a unique strongest equilibrium (solution) in any game problem. The efficiency of this new equilibrium is illustrated by static and dynamic game problems. This work was carried out under the program “Basic foundations of information technologies and systems” of the Russian Academy of Science (Project No. 1–3). Translated from Kibernetika i Sistemnyi Analiz, No. 2, pp. 116–127, March–April 2009.     

An efficient method for unconstrained optimization problems ofnonlinear large mesh-interconnected systems

Presents an efficient method for solving unconstrained optimization problems for nonlinear large mesh-interconnected systems. This method combines an approximate scaled gradient method with a block Gauss-Seidel with line search method which is used to obtain an approximate solution of the unconstrained quadratic programming subproblem. The authors prove that their method is globally convergent and demonstrate by several numerical examples its superior efficiency compared to a sparse matrix technique based method. In an example of a system of more than 200 variables, the authors observe that their method is 3.45 times faster than the sparse matrix technique based Newton-like method and about 50 times faster than the Newton-like method without the sparse matrix technique     

An unconstrained optimization technique for large-scale linearly constrained convex minimization problems

Consider the problem of minimizing a smooth convex functionf subject to the constraintsAx=b andx≥0, whereA∈? ^p×n . This constrained optimization problem is shown to be equivalent to a differentiable unconstrained optimization problem with 2n+p variables. This formulation of the convex constrained optimization problem can be of great advantage ifn andp are large. Some preliminary numerical results are reported.     

Algorithms for unconstrained global optimization of nonlinear (polynomial) programming problems: The single and multi-segment polynomial B-spline approach

We investigate the use of the polynomial B-spline form for unconstrained global optimization of multivariate polynomial nonlinear programming problems. We use the B-spline form for higher order approximation of multivariate polynomials. We first propose a basic algorithm for global optimization that uses several accelerating algorithms such as cut-off test and monotonicity test. We then propose an improved algorithm consisting of several additional ingredients, such as a new subdivision point selection rule and a modified subdivision direction selection rule. The performances of the proposed basic and improved algorithms are tested and compared on a set of 14 test problems under two test conditions. The results of the tests show the superiority of the improved algorithm with multi-segment B-spline over that of the single segment B-spline, in terms of the chosen performance metrics. We also compare the quality of the set of all global minimizers found using the proposed algorithms (basic & improved) with those using well-known solvers BARON and Gloptipoly, on a smaller set of four test problems. The problems in the latter set have multiple global minimizers. The results show the superiority of the proposed algorithms, in that they are able to capture all the global minimizers, whereas Gloptipoly and BARON fail to do so in some of the test problems.     

A variational method for unconstrained optimization problems

We introduce a new method for solving an unconstrained optimization problem. The method is based on the solution of a variational inequality problem and may be considered a modified trust region algorithm. We prove the convergence of the method and present some numerical results.     

求无约束优化问题的无参数填充函数法

填充函数作为求解优化问题的有效方法之一,以填充函数的基本思想为基础,构造了新的无参数填充函数,该函数形式简单,便于计算。分析了该函数的相关性质并设计了相应的算法,最后通过数值实验,结果表明提出的算法是可行的、有效的。     

An approach to multicriterion optimization problems for engineering design

Optimization problems in mechanical engineering design are often modelled as nonlinear programming problems. A multicriterion optimization approach to this problem is developed in this work. The problem formulation is given, and the min-max principle for this problem is discussed. Next, an algorithm is provided for comparing solutions using this principle.The solution which is defined by the min-max principle of optimality may be called the best compromise considering all the criteria simultaneously and on equal terms of importance. This principle is fully formalized mathematically and used to obtain the optimal solution automatically. The algorithm for comparing solutions gives us, from any set of solutions, the one which is optimal in the min-max sense.Seeking the optimal solution in the min-max sense can be carried out in many different ways. Some methods based upon the Monte Carlo method and trade-off studies are proposed.The approach as discussed here is applied to the design of machine tool gearboxes. The problem is formulated as finding the basic constructional parameters (modules, numbers of teeth etc.) of a gearbox which minimizes simultaneously four objective functions: volume of elements, peripheral velocity between gears, width of gearbox and distance between axes of input and output shafts. A detailed example considering a lathe gearbox optimization problem is also presented. This example indicates that for some mechanical engineering optimization problems, using this approach, we can automatically obtain a solution which is optimal and acceptable to the designer.     

An enhanced monarch butterfly optimization with self-adaptive crossover operator for unconstrained and constrained optimization problems

Natural Computing - Inspired by the phenomenon of migration of monarch butterflies, Wang et al. developed a novel promising swarm intelligence algorithm, called monarch butterfly optimization...     

New algorithms for unconstrained nonlinear optimal control problems

A family of new first-order algorithms for solving continuous time optimal control problems is presented. The algorithms make use of the Riccati matrix differential equation and are capable of solving the linear quadratic problem in one step. The paper includes an analysis of the convergence of the proposed algorithms in the space of relaxed controls, as well as the proof of the reduction of the cost functional at each iteration and numerical examples.     

An accelerated first-order method for solving SOS relaxations of unconstrained polynomial optimization problems

Our interest lies in solving sum of squares (SOS) relaxations of large-scale unconstrained polynomial optimization problems. Because interior-point methods for solving these problems are severely limited by the large-scale, we are motivated to explore efficient implementations of an accelerated first-order method to solve this class of problems. By exploiting special structural properties of this problem class, we greatly reduce the computational cost of the first-order method at each iteration. We report promising computational results as well as a curious observation about the behaviour of the first-order method for the SOS relaxations of the unconstrained polynomial optimization problem.     

A GRASP based solution approach to solve cardinality constrained portfolio optimization problems

In the current work, a solution methodology which combines a meta-heuristic algorithm with an exact solution approach is presented to solve cardinality constrained portfolio optimization (CCPO) problem. The proposed method is comprised of two levels, namely, stock selection and proportion determination. In stock selection level, a greedy randomized adaptive search procedure (GRASP) is developed. Once the stocks are selected the problem reduces to a quadratic programming problem. As GRASP ensures cardinality constraints by selecting predetermined number of stocks and quadratic programming model ensures the remaining problem constraints, no further constraint handling procedures are required. On the other hand, as the problem is decomposed into two sub-problems, total computational burden on the algorithm is considerably reduced. Furthermore, the performance of the proposed algorithm is evaluated by using benchmark data sets available in the OR Library. Computational results reveal that the proposed algorithm is competitive with the state of the art algorithms in the related literature.     

A scaled conjugate gradient method for nonlinear unconstrained optimization

We propose a new optimization problem which combines the good features of the classical conjugate gradient method using some penalty parameter, and then, solve it to introduce a new scaled conjugate gradient method for solving unconstrained problems. The method reduces to the classical conjugate gradient algorithm under common assumptions, and inherits its good properties. We prove the global convergence of the method using suitable conditions. Numerical results show that the new method is efficient and robust.     

无约束最优化问题的BFGS松弛异步并行算法

为解决大规模非线性最优化问题的串行求解速度慢的问题,提出应用松弛异步并行算法求解无约束最优化问题。根据无约束最优化问题的BFGS串行算法,在PC机群环境下将其并行化。利用CHOLESKY方法分解系数为对称正定矩阵的线性方程组,运用无序松弛异步并行方法求解解向量和Wolfe-Powell非线性搜索步长,并行求解BFGS修正公式,构建BFGS松弛异步并行算法,并对算法的时间复杂性、加速比进行分析。在PC机群的实验结果表明,该算法提高了无约束最优化问题的求解速度且负载均衡,算法具有线性加速比。     

A high-performance nonlinear dynamic scheme for the solution of equilibrium constrained optimization problems

In this paper, a feedback neural network model is proposed to compute the solution of the mathematical programs with equilibrium constraints (MPEC). The MPEC problem is altered into an identical one-level non-smooth optimization problem, then a sequential dynamic scheme that progressively approximates the non-smooth problem is presented. Besides asymptotic stability, it is proven that the limit equilibrium point of the suggested dynamic model is a solution for the original MPEC problem. Numerical simulation of various types of MPEC problems shows the significance of the results. Moreover, the scheme is applied to compute the Stackelberg–Cournot–Nash equilibria.