MPC

MPC 2012, ISSUE 4



Mathematical Programming Computation, Volume 4, Issue 4, December 2012

Optimal sensitivity based on IPOPT

Hans Pirnay, Rodrigo López-Negrete, L. T. Biegler

We introduce a flexible, open source implementation that provides the optimal sensitivity of solutions of nonlinear programming (NLP) problems, and is adapted to a fast solver based on a barrier NLP method. The program, called sIPOPT evaluates the sensitivity of the Karush–Kuhn–Tucker (KKT) system with respect to perturbation parameters. It is paired with the open-source IPOPT NLP solver and reuses matrix factorizations from the solver, so that sensitivities to parameters are determined with minimal computational cost. Aside from estimating sensitivities for parametric NLPs, the program provides approximate NLP solutions for nonlinear model predictive control and state estimation. These are enabled by pre-factored KKT matrices and a fix-relax strategy based on Schur complements. In addition, reduced Hessians are obtained at minimal cost and these are particularly effective to approximate covariance matrices in parameter and state estimation problems. The sIPOPT program is demonstrated on four case studies to illustrate all of these features.

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Mathematical Programming Computation, Volume 4, Issue 4, December 2012

Solving a low-rank factorization model for matrix completion by a nonlinear successive over-relaxation algorithm

Zaiwen Wen, W. Yin, Y. Zhang

Thematrix completion problem is to recover a low-rank matrix from a subset of its entries. The main solution strategy for this problem has been based on nuclearnorm minimization which requires computing singular value decompositions—a task that is increasingly costly as matrix sizes and ranks increase. To improve the capacity of solving large-scale problems, we propose a low-rank factorization model and construct a nonlinear successive over-relaxation (SOR) algorithm that only requires solving a linear least squares problem per iteration. Extensive numerical experiments show that the algorithm can reliably solve a wide range of problems at a speed at least several times faster than many nuclear-norm minimization algorithms. In addition, convergence of this nonlinear SOR algorithm to a stationary point is analyzed.

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Mathematical Programming Computation, Volume 4, Issue 4, December 2012

Maximum-weight stable sets and safe lower bounds for graph coloring

Stephan Held, William Cook, Edward C. Sewell

The best method known for determining lower bounds on the vertex coloring number of a graph is the linear-programming column-generation technique, where variables correspond to stable sets, first employed by Mehrotra and Trick in 1996. We present an implementation of the method that provides numerically-safe results, independent of the floating-point accuracy of linear-programming software. Our work includes an improved branch-and-bound algorithm for maximum-weight stable sets and a parallel branch-and-price framework for graph coloring. Computational results are presented on a collection of standard test instances, including the unsolved challenge problems created by David S. Johnson in 1989.

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Mathematical Programming Computation, Volume 4, Issue 4, December 2012

A comparative study of SQP-type algorithms for nonlinear and nonconvex mixed-integer optimization

Oliver Exler, Thomas Lehmann, Klaus Schittkowski

We present numerical results of a comparative study of codes for nonlinear and nonconvex mixed-integer optimization. The underlying algorithms are based on sequential quadratic programming (SQP) with stabilization by trust-regions, linear outer approximations, and branch-and-bound techniques. The mixed-integer quadratic programming subproblems are solved by a branch-and-cut algorithm. Second order information is updated by a quasi-Newton update formula (BFGS) applied to the Lagrange function for continuous, but also for integer variables. We do not require that the model functions can be evaluated at fractional values of the integer variables. Thus, partial derivatives with respect to integer variables are replaced by descent directions obtained from function values at neighboring grid points, and the number of simulations or function evaluations, respectively, is our main performance criterion to measure the efficiency of a code. Numerical results are presented for a set of 100 academic mixed-integer test problems. Since not all of our test examples are convex, we reach the best-known solutions in about 90 % of the test runs, but at least feasible solutions in the other cases. The average number of function evaluations of the new mixed-integer SQP code is between 240 and 500 including those needed for one- or two-sided approximations of partial derivatives or descent directions, respectively. In addition, we present numerical results for a set of 55 test problems with some practical

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