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A sequential homotopy method for mathematical programming problems
- Source :
- Mathematical Programming. 187:459-486
- Publication Year :
- 2020
- Publisher :
- Springer Science and Business Media LLC, 2020.
-
Abstract
- We propose a sequential homotopy method for the solution of mathematical programming problems formulated in abstract Hilbert spaces under the Guignard constraint qualification. The method is equivalent to performing projected backward Euler timestepping on a projected gradient/antigradient flow of the augmented Lagrangian. The projected backward Euler equations can be interpreted as the necessary optimality conditions of a primal-dual proximal regularization of the original problem. The regularized problems are always feasible, satisfy a strong constraint qualification guaranteeing uniqueness of Lagrange multipliers, yield unique primal solutions provided that the stepsize is sufficiently small, and can be solved by a continuation in the stepsize. We show that equilibria of the projected gradient/antigradient flow and critical points of the optimization problem are identical, provide sufficient conditions for the existence of global flow solutions, and show that critical points with emanating descent curves cannot be asymptotically stable equilibria of the projected gradient/antigradient flow, practically eradicating convergence to saddle points and maxima. The sequential homotopy method can be used to globalize any locally convergent optimization method that can be used in a homotopy framework. We demonstrate its efficiency for a class of highly nonlinear and badly conditioned control constrained elliptic optimal control problems with a semismooth Newton approach for the regularized subproblems.<br />27 pages, 6 figures
- Subjects :
- Mathematical optimization
Optimization problem
Augmented Lagrangian method
General Mathematics
Homotopy
Numerical analysis
Numerical Analysis (math.NA)
010103 numerical & computational mathematics
Optimal control
01 natural sciences
Backward Euler method
Local convergence
49M05, 49M37, 58C15, 65K05, 65K15, 90C30
010101 applied mathematics
symbols.namesake
Optimization and Control (math.OC)
Lagrange multiplier
FOS: Mathematics
symbols
Mathematics - Numerical Analysis
0101 mathematics
Mathematics - Optimization and Control
Software
Mathematics
Subjects
Details
- ISSN :
- 14364646 and 00255610
- Volume :
- 187
- Database :
- OpenAIRE
- Journal :
- Mathematical Programming
- Accession number :
- edsair.doi.dedup.....3073f1b50bcd991a19179e367ae85c03