Journal of Global Optimization最新文献

Abstract

In this article, we propose an interval constraint programming method for globally solving catalog-based categorical optimization problems. It supports catalogs of arbitrary size and properties of arbitrary dimension, and does not require any modeling effort from the user. A novel catalog-based contractor (or filtering operator) guarantees consistency between the categorical properties and the existing catalog items. This results in an intuitive and generic approach that is exact, rigorous (robust to roundoff errors) and can be easily implemented in an off-the-shelf interval-based continuous solver that interleaves branching and constraint propagation. We demonstrate the validity of the approach on a numerical problem in which a categorical variable is described by a two-dimensional property space. A Julia prototype is available as open-source software under the MIT license at https://github.com/cvanaret/CateGOrical.jl.

MINLO (mixed-integer nonlinear optimization) formulations of the disjunction between the origin and a polytope via a binary indicator variable have broad applicability in nonlinear combinatorial optimization, for modeling a fixed cost c associated with carrying out a set of d activities and a convex variable cost function f associated with the levels of the activities. The perspective relaxation is often used to solve such models to optimality in a branch-and-bound context, especially in the context in which f is univariate (e.g., in Markowitz-style portfolio optimization). But such a relaxation typically requires conic solvers and are typically not compatible with general-purpose NLP software which can accommodate additional classes of constraints. This motivates the study of weaker relaxations to investigate when simpler relaxations may be adequate. Comparing the volume (i.e., Lebesgue measure) of the relaxations as means of comparing them, we lift some of the results related to univariate functions f to the multivariate case. Along the way, we survey, connect and extend relevant results on integration over a simplex, some of which we concretely employ, and others of which can be used for further exploration on our main subject.

This paper studies a class of multiobjective convex polynomial problems, where both the constraint and objective functions involve uncertain parameters that reside in ellipsoidal uncertainty sets. Employing the robust deterministic approach, we provide necessary conditions and sufficient conditions, which are exhibited in relation to second order cone conditions, for robust (weak) Pareto solutions of the uncertain multiobjective optimization problem. A dual multiobjective problem is proposed to examine robust converse, robust weak and robust strong duality relations between the primal and dual problems. Moreover, we establish robust solution relationships between the uncertain multiobjective optimization program and a (scalar) second order cone programming relaxation problem of a corresponding weighted-sum optimization problem. This in particular shows that we can find a robust (weak) Pareto solution of the uncertain multiobjective optimization problem by solving a second order cone programming relaxation.

In this paper, we consider an application of lot-streaming for processing a lot of multiple items in a hybrid flow shop (HFS) for the objective of minimizing makespan. The HFS that we consider consists of two stages with a single machine available for processing in Stage 1 and m identical parallel machines in Stage 2. We call this problem a 1 + m TSHFS-LSP (two-stage hybrid flow shop, lot streaming problem), and show it to be NP-hard in general, except for the case when the sublot sizes are treated to be continuous. The novelty of our work is in obtaining closed-form expressions for optimal continuous sublot sizes that can be solved in polynomial time, for a given number of sublots. A fast linear search algorithm is also developed for determining the optimal number of sublots for the case of continuous sublot sizes. For the case when the sublot sizes are discrete, we propose a branch-and-bound-based heuristic to determine both the number of sublots and sublot sizes and demonstrate its efficacy by comparing its performance against that of a direct solution of a mixed-integer formulation of the problem by CPLEX^®.

In this paper, we deal with a new class of SOS-convex (sum of squares convex) polynomial optimization problems with spectrahedral uncertainty data in both the objective and constraints. By using robust optimization and a weighted-sum scalarization methodology, we first present the relationship between robust solutions of this uncertain SOS-convex polynomial optimization problem and that of its corresponding scalar optimization problem. Then, by using a normal cone constraint qualification condition, we establish necessary and sufficient optimality conditions for robust weakly efficient solutions of this uncertain SOS-convex polynomial optimization problem based on scaled diagonally dominant sums of squares conditions and linear matrix inequalities. Moreover, we introduce a semidefinite programming relaxation problem of its weighted-sum scalar optimization problem, and show that robust weakly efficient solutions of the uncertain SOS-convex polynomial optimization problem can be found by solving the corresponding semidefinite programming relaxation problem.

In this paper, we propose a spectral projected subgradient method with a 1-memory momentum term for solving constrained convex multiobjective optimization problem. This method combines the subgradient-type algorithm for multiobjective optimization problems with the idea of the spectral projected algorithm to accelerate the convergence process. Additionally, a 1-memory momentum term is added to the subgradient direction in the early iterations. The 1-memory momentum term incorporates, in the present iteration, some of the influence of the past iterations, and this can help to improve the search direction. Under suitable assumptions, we show that the sequence generated by the method converges to a weakly Pareto efficient solution and derive the sublinear convergence rates for the proposed method. Finally, computational experiments are given to demonstrate the effectiveness of the proposed method.

Abstract

A new exact projective penalty method is proposed for the equivalent reduction of constrained optimization problems to nonsmooth unconstrained ones. In the method, the original objective function is extended to infeasible points by summing its value at the projection of an infeasible point on the feasible set with the distance to the projection. Beside Euclidean projections, also a pointed projection in the direction of some fixed internal feasible point can be used. The equivalence means that local and global minimums of the problems coincide. Nonconvex sets with multivalued Euclidean projections are admitted, and the objective function may be lower semicontinuous. The particular case of convex problems is included. The obtained unconstrained or box constrained problem is solved by a version of the branch and bound method combined with local optimization. In principle, any local optimizer can be used within the branch and bound scheme but in numerical experiments sequential quadratic programming method was successfully used. So the proposed exact penalty method does not assume the existence of the objective function outside the allowable area and does not require the selection of the penalty coefficient.

Abstract

While constrained, multiobjective optimization is generally very difficult, there is a special case in which such problems can be solved with a simple, elegant branch-and-bound algorithm. This special case is when the objective and constraint functions are Lipschitz continuous with known Lipschitz constants. Given these Lipschitz constants, one can compute lower bounds on the functions over subregions of the search space. This allows one to iteratively partition the search space into rectangles, deleting those rectangles which—based on the lower bounds—contain points that are all provably infeasible or provably dominated by previously sampled point(s). As the algorithm proceeds, the rectangles that have not been deleted provide a tight covering of the Pareto set in the input space. Unfortunately, for black-box optimization this elegant algorithm cannot be applied, as we would not know the Lipschitz constants. In this paper, we show how one can heuristically extend this branch-and-bound algorithm to the case when the problem functions are black-box using an approach similar to that used in the well-known DIRECT global optimization algorithm. We call the resulting method “simDIRECT.” Initial experience with simDIRECT on test problems suggests that it performs similar to, or better than, multiobjective evolutionary algorithms when solving problems with small numbers of variables (up to 12) and a limited number of runs (up to 600).

In this paper, the problem of approximating and visualizing the solution set of systems of nonlinear inequalities is considered. It is supposed that left-hand parts of the inequalities can be multiextremal and non-differentiable. Thus, traditional local methods using gradients cannot be applied in these circumstances. Problems of this kind arise in many scientific applications, in particular, in finding working spaces of robots where it is necessary to determine not one but all the solutions of the system of nonlinear inequalities. Global optimization algorithms can be taken as an inspiration for developing methods for solving this problem. In this article, two new methods using two different approximations of Peano–Hilbert space-filling curves actively used in global optimization are proposed. Convergence conditions of the new methods are established. Numerical experiments executed on problems regarding finding the working spaces of several robots show a promising performance of the new algorithms.

Abstract

We discuss two key problems related to learning and optimization of neural networks: the computation of the adversarial attack for adversarial robustness and approximate optimization of complex functions. We show that both problems can be cast as instances of DC-programming. We give an explicit decomposition of the corresponding functions as differences of convex functions (DC) and report the results of experiments demonstrating the effectiveness of the DCA algorithm applied to these problems.