Adaptive augmented Lagrangian methods: algorithms and practical numerical experience
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Publication:2811487
nonlinear optimizationnon-convex optimizationlarge-scale optimizationmatrix-free methodssteering methodsadaptive augmented Lagrangian methods
Numerical mathematical programming methods (65K05) Numerical optimization and variational techniques (65K10) Large-scale problems in mathematical programming (90C06) Nonlinear programming (90C30) Numerical methods based on nonlinear programming (49M37) Newton-type methods (49M15) Numerical methods involving duality (49M29) Large-scale systems (93A15) Numerical methods based on necessary conditions (49M05)
Abstract: In this paper, we consider augmented Lagrangian (AL) algorithms for solving large-scale nonlinear optimization problems that execute adaptive strategies for updating the penalty parameter. Our work is motivated by the recently proposed adaptive AL trust region method by Curtis, Jiang, and Robinson [Math. Prog., DOI: 10.1007/s10107-014-0784-y, 2013]. The first focal point of this paper is a new variant of the approach that employs a line search rather than a trust region strategy, where a critical algorithmic feature for the line search strategy is the use of convexified piecewise quadratic models of the AL function for computing the search directions. We prove global convergence guarantees for our line search algorithm that are on par with those for the previously proposed trust region method. A second focal point of this paper is the practical performance of the line search and trust region algorithm variants in Matlab software, as well as that of an adaptive penalty parameter updating strategy incorporated into the Lancelot software. We test these methods on problems from the CUTEst and COPS collections, as well as on challenging test problems related to optimal power flow. Our numerical experience suggests that the adaptive algorithms outperform traditional AL methods in terms of efficiency and reliability. As with traditional AL algorithms, the adaptive methods are matrix-free and thus represent a viable option for solving extreme-scale problems.
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Cited in
(9)- Complexity of an inexact proximal-point penalty method for constrained smooth non-convex optimization
- Complexity and performance of an augmented Lagrangian algorithm
- An alternating trust region algorithm for distributed linearly constrained nonlinear programs, application to the optimal power flow problem
- Adaptive augmented Lagrangian methods: algorithms and practical numerical experience
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