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A practical Trust-Region SQP algorithm for equality- and bound-constrained optimization without derivatives

Tröltzsch, Anke (2013) A practical Trust-Region SQP algorithm for equality- and bound-constrained optimization without derivatives. In: Numerical Computations: Theory and Algorithms. Pellegrini Editore Publisher. NUMTA 2013, 17.-23. Juni 2013, Falerna, Italien. ISBN 9788868220327

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In the last few years, a number of derivative-free optimization methods have been developed and especially model-based trust-region methods have been shown to perform well. Here, we present a new interpolation-based trust-region algorithm which can handle nonlinear and nonconvex optimization problems involving equality constraints and simple bounds on the variables. Our new algorithm is an extension of the algorithm BCDFO which handles bound constraints by an active-set method and has shown to be very competitive. It relies also on the technique of self-correcting geometry proposed by Scheinberg and Toint. The objective and constraint functions are approximated by polynomials of varying degree (linear or quadratic). The equality constraints are handled by a trust-region SQP approach, where each SQP step is decomposed into normal and tangential components. Special care must be taken in case an iterate is infeasible with respect to the models of the derivative-free constraints. Globalization is handled by using an Augmented Lagrangian penalty function as the merit function. We present numerical results on a test set of equality-constrained problems from the CUTEr problem collection and on a real-life application from engineering design in space craft development.

Item URL in elib:https://elib.dlr.de/86274/
Document Type:Conference or Workshop Item (Speech)
Title:A practical Trust-Region SQP algorithm for equality- and bound-constrained optimization without derivatives
AuthorsInstitution or Email of AuthorsAuthors ORCID iD
Tröltzsch, Ankeanke.troeltzsch (at) dlr.deUNSPECIFIED
Date:June 2013
Journal or Publication Title:Numerical Computations: Theory and Algorithms
Refereed publication:Yes
Open Access:No
Gold Open Access:No
In ISI Web of Science:No
Publisher:Pellegrini Editore Publisher
Keywords:derivative-free optimization, nonlinear optimization, constraints, SQP
Event Title:NUMTA 2013
Event Location:Falerna, Italien
Event Type:international Conference
Event Dates:17.-23. Juni 2013
HGF - Research field:Aeronautics, Space and Transport
HGF - Program:Space
HGF - Program Themes:Space Transport
DLR - Research area:Raumfahrt
DLR - Program:R RP - Raumtransport
DLR - Research theme (Project):R - Proj. Thermas (old)
Location: Köln-Porz
Institutes and Institutions:Institut of Simulation and Software Technology
Institut of Simulation and Software Technology > Distributed Systems and Component Software
Deposited By: Tröltzsch, Anke
Deposited On:06 Dec 2013 09:52
Last Modified:08 May 2014 23:26

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