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Interior-point methods for nonlinear, second-order cone, and semidefinite programming.

机译:非线性,二阶锥和半定规划的内点方法。

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摘要

Interior-point methods have been a re-emerging field in optimization since the mid-1980s. We will present here ways of improving the performance of these algorithms for nonlinear optimization and extending them to different classes of problems and application areas.; At each iteration, an interior-point algorithm computes a direction in which to proceed, and then must decide how long of a step to take. The traditional approach to choosing a steplength is to use a merit function, which balances the goals of improving the objective function and satisfying the constraints. Recently, Fletcher and Leyffer reported success with using a filter method, where improvement of any of the objective function and constraint infeasibility is sufficient. We have combined these two approaches and applied them to interior-point methods for the first time and with good results.; Another issue in nonlinear optimization is the emergence of several popular problem classes and their specialized solution algorithms. Two such problem classes are Second-Order Cone Programming (SOCP) and Semidefinite Programming (SDP). In the second part of this dissertation, we show that problems from both of these classes can be reformulated as smooth convex optimization problems and solved using a general purpose interior-point algorithm for nonlinear optimization.
机译:自1980年代中期以来,内点法一直是优化领域的新兴领域。我们将在此处介绍改善这些算法用于非线性优化的性能,并将其扩展到不同类别的问题和应用领域的方法。在每次迭代中,内点算法都会计算前进的方向,然后必须决定要走多长时间。选择步长的传统方法是使用优点函数,它平衡了改善目标函数和满足约束的目标。最近,Fletcher和Leyffer报告了使用过滤器方法的成功,其中任何目标函数的改进和约束不可行都是足够的。我们将这两种方法结合起来,并首次将它们应用于内点法,并取得了良好的效果。非线性优化的另一个问题是出现了几种流行的问题类别及其专门的求解算法。两个这样的问题类别是二阶锥规划(SOCP)和半定规划(SDP)。在本文的第二部分中,我们表明可以将这两个类别的问题重新表示为光滑凸优化问题,并可以使用通用内点算法进行非线性优化。

著录项

  • 作者

    Benson, Hande Yurttan.;

  • 作者单位

    Princeton University.;

  • 授予单位 Princeton University.;
  • 学科 Operations Research.; Mathematics.
  • 学位 Ph.D.
  • 年度 2001
  • 页码 160 p.
  • 总页数 160
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 运筹学;数学;
  • 关键词

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