Engineering Optimization Methods Constrained Problems

ENGINEERING OPTIMIZATION
Methods and Applications

A. Ravindran, K. M. Ragsdell, G. V. Reklaitis
Book Review
Page 1
Chapter 5: Constrained Optimality Criteria

Part 1: Ferhat Dikbiyik Part 2:Yi Zhang
Review Session July 2, 2010
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Constraints:
Good guys or bad guys?
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Constraints:
Good guys or bad guys?
reduces the region in which we search for optimum.
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Constraints:
Good guys or bad guys? makes optimization process very complicated
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( x 2)
x4
25 20 15
10
5 0
-2
-1
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Outline of Part 1
Equality-Constrained Problems Lagrange Multipliers Economic Interpretation of Lagrange Multipliers Kuhn-Tucker Conditions Kuhn-Tucker Theorem
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Outline of Part 1
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Equality-Constrained Problems
GOAL solving the problem as an unconstrained problem by explicitly eliminating K independent variables using the equality constraints
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Example 5.1
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What if?
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Outline of Part 1
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Lagrange Multipliers
Converting constrained problem to an unconstrained problem with help of certain unspecified parameters known as
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Lagrange function
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Lagrange multiplier
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Example 5.2
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Test whether the stationary point corresponds to a minimum
positive definite
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Example 5.3
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max
positive definite negative definite
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Outline of Part 1
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Economic Interpretation of Lagrange Multipliers
The Lagrange multipliers have an important economic interpretation as shadow prices of the constraints, and their optimal values are very useful in sensitivity analysis.
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Outline of Part 1
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Kuhn-Tucker Conditions
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NLP problem
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Kuhn-Tucker conditions (aka Kuhn-Tucker Problem)
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Example 5.4
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Example 5.4
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Example 5.4
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Outline of Part 1
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Kuhn-Tucker Theorems
1. Kuhn Tucker Necessity Theorem 2. Kuhn Tucker Sufficient Theorem
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Kuhn-Tucker Necessity Theorem
Let f, g, and h be differentiable functions x* be a feasible solution to the NLP problem. and for k=1,.,K are linearly independent
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Let f, g, andConstraint h be differentiable functions x* be a qualification feasible solution to the NLP problem.
and for k=1,.,K are linearly independent at the optimum If x* is an optimal solution to NLP problem, ! Hard to verify, since itthe requires that then there exists a (u*, v*) suchbe that (x*,u*, v*) the optimum solution known solves the KTP given by KTC.! beforehand
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For certain special NLP problems, the constraint qualification is satisfied: 1. When all the inequality and equality constraints are linear 2. When all the inequality constraints are concave functions and equality constraints are linear ! When the constraint qualification is not met at the optimum, there may not exist a solution to the KTP
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Example 5.5
x* = (1, 0)
and for k=1,.,K are linearly independent at the optimum

Page 38
Example 5.5
x* = (1, 0)
No Kuhn-Tucker point at the optimum
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Given a feasible point that satisfies the constraint qualification
not optimal
If it does not satisfy the KTCs
optimal
If it does satisfy the KTCs

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Example 5.6
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Kuhn-Tucker Sufficiency Theorem
Let f(x) be convex the inequality constraints gj(x) for j=1,,J be all concave function the equality constraints hk(x) for k=1,,K be linear
If there exists a solution (x*,u*,v*) that satisfies KTCs, then x* is an optimal solution
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Example 5.4
f(x) be convex the inequality constraints gj(x) for j=1,,J be all concave function the equality constraints hk(x) for k=1,,K be linear
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Example 5.4
f(x) be convex
semi-definite
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Example 5.4
f(x) be convex v the inequality constraints gj(x) for j=1,,J be all concave function
g1(x) linear, hence both convex and concave negative definite
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Example 5.4
f(x) be convex v the inequality constraints gj(x) for j=1,,J be all concave function the equality constraints hk(x) for k=1,,K be linear
Page 46
Remarks
For practical problems, the constraint qualification will generally hold. If the functions are differentiable, a KuhnTucker point is a possible candidate for the optimum. Hence, many of the NLP methods attempt to converge to a Kuhn Tucker point.
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Remarks
When the sufficiency conditions of Theorem 5.2 hold, a KuhnTucker point automatically becomes the global minimum. Unfortunately, the sufficiency conditions are difficult to verify, and often practical problems may not possess these nice properties. Note that the presence of one nonlinear equality constraint is enough to violate the assumptions of Theorem 5.2
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Remarks
The sufficiency conditions of Theorem 5.2 have been generalized further to nonconvex inequality constraints, nonconvex objectives, and nonlinear equality constraints. These use generalizations of convex functions such as quasi-convex and pseudoconvex functions
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ENGINEERING OPTIMIZATION

Methods and Applications

Chapter 5: Constrained Optimality Criteria

Review Session July 2, 2010

Test whether the stationary point corresponds to a minimum

Economic Interpretation of Lagrange Multipliers

Kuhn-Tucker conditions (aka Kuhn-Tucker Problem)

1. Kuhn Tucker Necessity Theorem 2. Kuhn Tucker Sufficient Theorem

Kuhn-Tucker Necessity Theorem

Kuhn-Tucker Necessity Theorem

Kuhn-Tucker Necessity Theorem

and for k=1,.,K are linearly independent at the optimum

No Kuhn-Tucker point at the optimum

Kuhn-Tucker Necessity Theorem

If it does satisfy the KTCs

Kuhn-Tucker Sufficiency Theorem

g1(x) linear, hence both convex and concave negative definite

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