Method and apparatus for solving an equality constrained global optimization problem
View Patent ↗One embodiment of the present invention provides a system that solves a global optimization problem specified by a function ƒ and a set of equality constraints q i (x)=0 (i=1, . . . , r), wherein ƒ is a scalar function of a vector x=(x 1 , x 2 , x 3 , . . . x n ). During operation, the system receives a representation of the function ƒ and the set of equality constraints and stores the representation in a memory. Next, the system performs an interval equality constrained global optimization process to compute guaranteed bounds on a globally minimum value of the function ƒ(x) subject to the set of equality constraints. During this process, the system applies term consistency to a set of relations associated with the interval equality constrained global optimization problem over a subbox X, and excludes any portion of the subbox X that violates the set of relations. It also applies box consistency to the set of relations, and excludes any portion of the subbox X that violates the set of relations. Finally, the system performs an interval Newton step for the interval equality constrained global optimization problem over the subbox X. The system integrates the sub-parts of the process with branch tests designed to increase the overall speed of the process.
1. A computer-readable storage medium storing instructions that when executed by a computer cause the computer to perform a method for using a computer system to solve a global optimization problem specified by a function ƒ and a set of equality constraints, the method comprising:
receiving a representation of the function ƒ and the set of equality constraints q i (x)=0 (i=1, . . . ,r) at the computer system, wherein ƒ is a scalar function of a vector x=(x 1 , x 2 , x 3 , . . .x n );
storing the representation in a memory within the computer system;
performing an interval equality constrained global optimization process to compute guaranteed bounds on a globally minimum value of the function ƒ(x) subject to the set of equality constraints;
wherein performing the interval equality constrained global optimization process involves,
applying term consistency to a set of relations associated with the interval equality constrained global optimization problem over a subbox X, and excluding any portion of the subbox X that violates any of these relations,
applying box consistency to the set of relations associated with the interval equality constrained global optimization problem over the subbox X, and excluding any portion of the subbox X that violates any of the relations, and
performing an interval Newton step for the interval equality constrained global optimization problem over the subbox X.
2. The computer-readable storage medium of claim 1 , wherein applying term consistency to the set of relations involves applying term consistency to the set of equality constraints q i (x)=0(i=1, . . . , r) over the subbox X.
3. The computer-readable storage medium of claim 1 , wherein applying box consistency to the set of relations involves applying box consistency to the set of equality constraints q i (x)=0(i=1, . . . , r) over the subbox X.
4. The computer-readable storage medium of claim 1 ,
wherein performing the interval equality constrained global optimization process involves,
keeping track of a least upper bound ƒ_bar of the function ƒ(x), and
removing from consideration any subbox for which inƒ(ƒ(X))>ƒ_bar;
wherein applying term consistency to the set of relations involves applying term consistency to the ƒ_bar inequality ƒ(x)≦ƒ_bar over the subbox X.
5. The computer-readable storage medium of claim 4 , wherein applying box consistency to the set of relations involves applying box consistency to the ƒ_bar inequality ƒ(x)≦ƒ_bar over the subbox X.
6. The computer-readable storage medium of claim 1 ,
wherein performing the interval equality constrained global optimization process involves preconditioning the set of equality constraints through multiplication by an approximate inverse matrix B to produce a set of preconditioned equality constraints; and
wherein applying term consistency to the set of relations involves applying term consistency to the set of preconditioned equality constraints over the subbox X.
7. The computer-readable storage medium of claim 6 , wherein applying box consistency to the set of relations involves applying box consistency to the set of preconditioned equality constraints over the subbox X.
8. The computer-readable storage medium of claim 1 , wherein performing the interval Newton step involves performing the interval Newton step on the John conditions.
9. The computer-readable storage medium of claim 1 , wherein prior to performing the interval Newton step on the John conditions, the method further comprises performing a linearization test to determine whether to perform the Newton step on the John conditions.
10. The computer-readable storage medium of claim 1 , wherein performing the interval equality constrained global optimization process involves:
evaluating a first termination condition;
wherein the first termination condition is TRUE if the width of the subbox X is less than a pre-specified value, ε X , and the width of the ƒ(X) is less than a pre-specified value, ε F ; and
if the first termination condition is TRUE, terminating further splitting of the subbox X.
11. The computer-readable storage medium of claim 1 , wherein performing the interval Newton step involves:
computing J(x,X), wherein J(x,X) is the Jacobian of the function f evaluated as a function of x over the subbox X; and
determining if J(x,X) is regular as a byproduct of solving for the subbox Y that contains values of that satisfy M(x,X)(y−x)=r(x), where M(x,X)=BJ(x,X), r(x)=−Bf(x), and B is an approximate inverse of the center of J(x,X).