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Inexact Newton-Type Optimization with Iterated Sensitivities

Rien Quirynen ; Sébastien Gros (Institutionen för signaler och system, Reglerteknik) ; Moritz Diehl
SIAM Journal on Optimization (SIOPT) (2017)
[Artikel, refereegranskad vetenskaplig]

This paper presents and analyzes an Inexact Newton-type optimization method based on Iterated Sensitivities (INIS). A particular class of Nonlinear Programming (NLP) problems is considered, where a subset of the variables is defined by nonlinear equality constraints. The proposed algorithm considers any problem-specific approximation for the Jacobian of these constraints. Unlike other inexact Newton methods, the INIS-type optimization algorithm is shown to preserve the local convergence properties and the asymptotic contraction rate of the Newton-type scheme for the feasibility problem, yielded by the same Jacobian approximation. The INIS approach results in a computational cost which can be made close to that of the standard inexact Newton implementation. In addition, an adjoint-free (AF-INIS) variant of the approach is presented which, under certain conditions, becomes considerably easier to implement than the adjoint based scheme. The applicability of these results is motivated, specifically for dynamic optimization problems. In addition, the numerical performance of a specific open-source implementation is illustrated.



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Denna post skapades 2017-08-09.
CPL Pubid: 250964

 

Institutioner (Chalmers)

Institutionen för signaler och system, Reglerteknik (2005-2017)

Ämnesområden

Informations- och kommunikationsteknik
Matematik

Chalmers infrastruktur