Improved penalty algorithm for mixed integer PDE constrained optimization problems

Abstract

Optimal control problems including partial differential equation (PDE) as well as integer constraints merge the combinatorial difficulties of integer programming and the challenges related to large-scale systems resulting from discretized PDEs. So far, the branch-and-bound framework has been the most common solution strategy for such problems. In order to provide an alternative solution approach, especially in a large-scale context, this article investigates penalization techniques. Taking inspiration from a well-known family of existing exact penalty algorithms, a novel improved penalty algorithm is derived, whose key ingredients are a basin hopping strategy and an interior point method, both of which are specialized for the problem class. A thorough numerical investigation is carried out for a standard stationary test problem. Extensions to a convection-diffusion as well as a nonlinear test problem finally demonstrate the versatility of the approach.