General Quadratic Programming Research Articles

Bi-affine scaling iterative method for convex quadratic programming with bound constraints

To solve general convex quadratic programming problems with bound constraints, this paper proposes a new interior point iterative method that is easy to be implemented. The method exhibits a simple and sufficiently smooth search direction, and possesses the characteristics of affine scaling. Under the limited optimal stepsize rule, starting from an arbitrary interior point, any accumulation point of the generated sequence is an optimal solution of the corresponding problem. Furthermore, due to the absence of introducing dual variables and solving equations, the proposed method is more suitable for solving large-scale problems. Preliminary numerical results indicate that the new method has advantages in terms of both efficiency and accuracy.

Structure-exploiting Newton-type method for optimal control of switched systems

ABSTRACT This study proposes an efficient Newton-type method for the optimal control of switched systems under a given mode sequence. A mesh-refinement-based approach is utilised to discretise continuous-time optimal control problems (OCPs) and formulate a nonlinear program (NLP), which guarantees the local convergence of a Newton-type method. A dedicated structure-exploiting algorithm (Riccati recursion) is proposed to perform a Newton-type method for the NLP efficiently because its sparsity structure is different from a standard OCP. The proposed method computes each Newton step with linear time-complexity for the total number of discretization grids as the standard Riccati recursion algorithm. Additionally, the computation is always successful if the solution is sufficiently close to a local minimum. Conversely, general quadratic programming (QP) solvers cannot accomplish this because the Hessian matrix is inherently indefinite. Moreover, a modification on the reduced Hessian matrix is proposed using the nature of the Riccati recursion algorithm as the dynamic programming for a QP subproblem to enhance the convergence. A numerical comparison is conducted with off-the-shelf NLP solvers, which demonstrates that the proposed method is up to two orders of magnitude faster. Whole-body optimal control of quadrupedal gaits is also demonstrated and shows that the proposed method can achieve the whole-body model predictive control (MPC) of robotic systems with rigid contacts.

On the Convergence of Overlapping Schwarz Decomposition for Nonlinear Optimal Control

We study the convergence properties of an overlapping Schwarz decomposition algorithm for solving nonlinear optimal control problems (OCPs). The algorithm decomposes the time domain into a set of overlapping subdomains, and solves all subproblems defined over subdomains in parallel. The convergence is attained by updating primal-dual information at the boundaries of overlapping subdomains. We show that the algorithm exhibits local linear convergence, and that the convergence rate improves exponentially with the overlap size. We also establish global convergence results for a general quadratic programming, which enables the application of the Schwarz scheme inside second-order optimization algorithms (e.g., sequential quadratic programming). The theoretical foundation of our convergence analysis is a sensitivity result of nonlinear OCPs, which we call “exponential decay of sensitivity” (EDS). Intuitively, EDS states that the impact of perturbations at domain boundaries (i.e., initial and terminal time) on the solution decays exponentially as one moves into the domain. Here, we expand a previous analysis available in the literature by showing that EDS holds for both primal and dual solutions of nonlinear OCPs, under uniform second-order sufficient condition, controllability condition, and boundedness condition. We conduct experiments with a quadrotor motion planning problem and a partial differential equations (PDE) control problem to validate our theory, and show that the approach is significantly more efficient than alternating direction method of multipliers and as efficient as the centralized interior-point solver.

Strong Duality for General Quadratic Programs with Quadratic Equality Constraints

Strong Duality for General Quadratic Programs with Quadratic Equality Constraints

A new subclass of Q0-matrix in linear complementarity theory

In this article, we introduce a new matrix class L¯(d) (a subclass of Q0-matrices which are obtained as a limit of a sequence of L(d)-matrices) such that for any A in this class, a solution to LCP(q,A) exists if LCP(q,A) is feasible, and Lemke's algorithm will find a solution or demonstrate infeasibility. We present a counterexample to show that an L¯(d)-matrix need not be an L(d)-matrix. We also show that if A∈L¯(d), there is an even number of solutions for any nondegenerate vector q. An application of this new matrix class that arises from general quadratic programs and polymatrix games belongs to this class. Finally, we present an example related to the existence of equilibrium in polymatrix games.

Bi-Matrix Games with General Intuitionistic Fuzzy Payoffs and Application in Corporate Environmental Behavior

Uncertainty is common in miscellaneous decision-making problems, including bi-matrix games. The uncertainty of bi-matrix games is caused by the complexity of the game environment and the limitations of players’ cognition rather than the asymmetry of information. Therefore, it is hard for players to precisely give their crisp payoff values. In this paper, a new method considering the acceptance degree that the general intuitionistic fuzzy constraints may be violated is developed to solve general intuitionistic fuzzy bi-matrix games (GIFBMGs). In the method, a new asymmetric general intuitionistic fuzzy number (GIFN) and its cut sets are firstly defined. Then, the order relationship of GIFNs and the definitions of α and β-bi-matrix games are proposed. Afterwards, the constructed general intuitionistic fuzzy quadratic program is converted into an interval bi-objective program on the basis of the order relationship of GIFNs. Furthermore, the interval bi-objective program is converted into a multi-objective quadratic program based on the combination of interval order relationship and the player’s acceptance degree. A goal programming approach is put forward to solve the multi-objective quadratic program. Finally, the validity of the proposed method is verified with a numerical example for corporate environmental behavior (CEB), and some comparative analyses are conducted to show the superiority of the proposed method.

An efficient arc-search interior-point algorithm for convex quadratic programming with box constraints

Although the classical LQR design method has been very successful in real world engineering designs, in some cases, the classical design method needs modifications because of the saturation in actuators. This modified problem is sometimes called the constrained LQR design. For discrete systems, the constrained LQR design problem is equivalent to a convex quadratic programming problem with box constraints. We will show that the interior-point method is very efficient for this problem because an initial interior point is available, a condition which is not true for general convex quadratic programming problem. We will devise an effective and efficient algorithm for the constrained LQR design problem using the special structure of the box constraints and a recently introduced arc-search technique for the interior-point algorithm. We will prove that the algorithm is polynomial and has the best-known complexity bound for the convex quadratic programming. The proposed algorithm is implemented in MATLAB. An example for the constrained LQR design is provided to show the effectiveness and efficiency of the design method. The proposed algorithm can easily be used for model predictive control.

A kernel path algorithm for general parametric quadratic programming problem

It is well known that the performance of a kernel method highly depends on the choice of kernel parameter. A kernel path provides a compact representation of all optimal solutions, which can be used to choose the optimal value of kernel parameter along with cross validation (CV) method. However, none of these existing kernel path algorithms provides a unified implementation to various learning problems. To fill this gap, in this paper, we first study a general parametric quadratic programming (PQP) problem that can be instantiated to an extensive number of learning problems. Then we provide a generalized kernel path (GKP) for the general PQP problem. Furthermore, we analyze the iteration complexity and computational complexity of GKP. Extensive experimental results on various benchmark datasets not only confirm the identity of GKP with several existing kernel path algorithms, but also show that our GKP is superior to the existing kernel path algorithms in terms of generalization and robustness.

A new preconditioning approach for an interior point‐proximal method of multipliers for linear and convex quadratic programming

AbstractIn this article, we address the efficient numerical solution of linear and quadratic programming problems, often of large scale. With this aim, we devise an infeasible interior point method, blended with the proximal method of multipliers, which in turn results in a primal‐dual regularized interior point method. Application of this method gives rise to a sequence of increasingly ill‐conditioned linear systems which cannot always be solved by factorization methods, due to memory and CPU time restrictions. We propose a novel preconditioning strategy which is based on a suitable sparsification of the normal equations matrix in the linear case, and also constitutes the foundation of a block‐diagonal preconditioner to accelerate MINRES for linear systems arising from the solution of general quadratic programming problems. Numerical results for a range of test problems demonstrate the robustness of the proposed preconditioning strategy, together with its ability to solve linear systems of very large dimension.

An Optimality Gap Test for a Semidefinite Relaxation of a Quadratic Program with Two Quadratic Constraints

We propose a necessary and sufficient test to determine whether a solution for a general quadratic program with two quadratic constraints (QC2QP) can be computed from that of a specific convex semidefinite relaxation, in which case we say that there is no optimality gap. Originally intended to solve a nonconvex optimal control problem, we consider the case in which the cost and both constraints of the QC2QP may be nonconvex. We obtained our test, which also ascertains when strong duality holds, by generalizing a closely-related method by Ai and Zhang. An extension was necessary because, while the method proposed by Ai and Zhang also allows for two quadratic constraints, it requires that at least one is strictly convex. In order to illustrate the usefulness of our test, we applied it to two examples that do not satisfy the assumptions required by prior methods. Our test guarantees that there is no optimality gap for the first example -- a solution is also computed from the relaxation -- and we used it to establish that an optimality gap exists in the second.

AN INDEFINITE QUADRATIC PROGRAMMING PROBLEMS

In this paper, we give in section (1) compact description of the algorithm for solving general quadratic programming problems (that is, obtaining a local minimum of a quadratic function subject to inequality constraints) is presented. In section (2), we give practical application of the algorithm, we also discuss the computation work and performing by the algorithm and try to achieve efficiency and stability as possible as we can. In section (3), we show how to update the QR-factors of A1 (K), when the tableau is complementary ,we give updating to the LDLT-Factors of (K ) A G . In section (4) we are not going to describe a fully detailed method of obtaini

A Three-Operator Splitting Perspective of a Three-Block ADMM for Convex Quadratic Semidefinite Programming and Beyond

In recent years, several convergent variants of the multi-block alternating direction method of multipliers (ADMM) have been proposed for solving the convex quadratic semidefinite programming via its dual, which is inherently a [Formula: see text]-block separable convex optimization problem with coupled linear constraints. Among these multi-block ADMM-type algorithms, the modified [Formula: see text]-block ADMM in [Chang, XK, SY Liu and X Li (2016). Modified alternating direction method of multipliers for convex quadratic semidefinite programming. Neurocomputing, 214, 575–586] bears a peculiar feature that the augmented Lagrangian function is not necessarily to be minimized with respect to the block-variable corresponding to the quadratic term in the objective function. In this paper, we lay the theoretical foundation of this phenomenon by interpreting this modified [Formula: see text]-block ADMM as a special implementation of the Davis–Yin [Formula: see text]-operator splitting [Davis, D and WT Yin (2017). A three-operator splitting scheme and its optimization applications. Set-Valued and Variational Analysis, 25, 829–858]. Based on this perspective, we are able to extend this modified [Formula: see text]-block ADMM to a generalized [Formula: see text]-block ADMM, in the sense of [Eckstein, J and DP Bertsekas (1992). On the Douglas–Rachford splitting method and the proximal point algorithm for maximal monotone operators. Mathematical Programming, 55, 293–318], which not only applies to the more general convex composite quadratic programming problems but also admits the flexibility of achieving even better numerical performance.

Новый алгоритм нахождения оптимального решения задачи определения коэффициентов взаимовлияния скважин в рамках модели CRM

The quantitative evaluation of producer and injector well interference based on well operation data (profiles of flow rates/injectivities and bottomhole/reservoir pressures) with the help of CRM (Capacitance-Resistive Models) is an optimization problem with large set of variables and constraints. The analytical solution cannot be found because of the complex form of the objective function for this problem. Attempts to find the solution with stochastic algorithms take unacceptable time and the result may be far from the optimal solution. Besides, the use of universal (commercial) optimizers hides the details of step by step solution from the user, for example — the ambiguity of the solution as the result of data inaccuracy.<br> The present article concerns two variants of CRM problem. The authors present a new algorithm of solving the problems with the help of “General Quadratic Programming Algorithm”. The main advantage of the new algorithm is the greater performance in comparison with the other known algorithms. Its other advantage is the possibility of an ambiguity analysis. This article studies the conditions which guarantee that the first variant of problem has a unique solution, which can be found with the presented algorithm. Another algorithm for finding the approximate solution for the second variant of the problem is also considered. The method of visualization of approximate solutions set is presented. The results of experiments comparing the new algorithm with some previously known are given.

Tri-Criteria Optimization Motion Planning at Acceleration-Level of Dual Redundant Manipulators

SUMMARYIn order to solve joint-angle drift problem of dual redundant manipulators at acceleration-level, an acceleration-level tri-criteria optimization motion planning (ALTC-OMP) scheme is proposed, which combines the minimum acceleration norm, repetitive motion planning, and infinity-norm acceleration minimization solutions via weighting factor. This scheme can resolve the joint-angle drift problem of dual redundant manipulators which will arise in single criteria or bi-criteria scheme. In addition, the proposed scheme considers joint-velocity joint-acceleration physical limits. The proposed scheme can not only guarantee joint-velocity and joint-acceleration within their physical limits, but also ensure that final joint-velocity and joint-acceleration are near to zero. This scheme is realized by dual redundant manipulators which consist of left and right manipulators. In order to ensure the coordinated operation of manipulators, two motion planning problems are reformulated as two general quadratic program (QP) problems and further unified into one standard QP problem, which is solved by a simplified linear-variational-inequalities-based primal-dual neural network at the acceleration-level. Computer-simulation results based on dual PUMA560 redundant manipulators further demonstrate the effectiveness and feasibility of the proposed ALTC-OMP scheme to resolve joint-angle drift problem arising in the dual redundant manipulators.

Safe Trajectory Generation for Complex Urban Environments Using Spatio-Temporal Semantic Corridor

Planning safe trajectories for autonomous vehicles in complex urban environments is challenging since there are numerous semantic elements (such as dynamic agents, traffic lights, and speed limits) to consider. These semantic elements may have different mathematical descriptions, such as obstacle, constraint, and cost. It is non-trivial to tune the effects from different combinations of semantic elements for a stable and generalizable behavior. In this letter, we propose a novel unified spatio-temporal semantic corridor (SSC) structure, which provides a level of abstraction for different types of semantic elements. The SSC consists of a series of mutually connected collision-free cubes with dynamical constraints posed by the semantic elements in the spatio-temporal domain. The trajectory generation problem then boils down to a general quadratic programming formulation. Thanks to the unified SSC representation, our framework can generalize to any combination of semantic elements. Moreover, our formulation provides a theoretical guarantee that the entire trajectory is safe and constraint-satisfied, by using the convex hull and hodograph properties of piecewise Bezier curve parameterization. We also release the code of our method to accommodate benchmarking.

Assessment of the collusion possibility and profitability in the electricity market: A new analytical approach

This paper proposes an analytical approach for evaluating the potential of collusion in the electricity market, based on the Jacobian matrix of GenCos’ profit. To develop the proposed approach, two lemmas are presented with their proof. In the first lemma, a general quadratic programming problem is decomposed. This lemma is employed to decompose the market variables, which are provided by solving the optimal power flow (OPF) problem. The second one is used to calculate the Jacobian matrix, analytically. Finally, four indices are introduced to evaluate the collusion possibility and profitability. These indices quantify both financial and capacity withholding of the GenCos. The proposed approach allows market regulator to assess the degree of competition in the electricity market. The simulation results on the IEEE 24-bus and 300-bus test systems demonstrate the efficiency of the proposed approach.

Quasi-Newton approaches to interior point methods for quadratic problems

Interior point methods (IPM) rely on the Newton method for solving systems of nonlinear equations. Solving the linear systems which arise from this approach is the most computationally expensive task of an interior point iteration. If, due to problem’s inner structure, there are special techniques for efficiently solving linear systems, IPMs demonstrate a reduced computing time and are able to solve large scale optimization problems. It is tempting to try to replace the Newton method by quasi-Newton methods. Quasi-Newton approaches to IPMs either are built to approximate the Lagrangian function for nonlinear programming problems or provide an inexpensive preconditioner. In this work we study the impact of using quasi-Newton methods applied directly to the nonlinear system of equations for general quadratic programming problems. The cost of each iteration can be compared to the cost of computing correctors in a usual interior point iteration. Numerical experiments show that the new approach is able to reduce the overall number of matrix factorizations.

Numerical solution of a general interval quadratic programming model for portfolio selection.

Based on the Markowitz mean variance model, this paper discusses the portfolio selection problem in an uncertain environment. To construct a more realistic and optimized model, in this paper, a new general interval quadratic programming model for portfolio selection is established by introducing the linear transaction costs and liquidity of the securities market. Regarding the estimation for the new model, we propose an effective numerical solution method based on the Lagrange theorem and duality theory, which can obtain the effective upper and lower bounds of the objective function of the model. In addition, the proposed method is illustrated with two examples, and the results show that the proposed method is better and more feasible than the commonly used portfolio selection method.

Velocity-Level Tri-Criteria Optimization Scheme for Different Complex Path Tracking of Redundant Manipulators

In order to remedy the position deviation of the joint angles and ensure the smooth motion trajectory of the end-effector at velocity level, a velocity-level tri-criteria optimization (VLTCO) scheme of redundant manipulator’s is proposed. The proposed VLTCO scheme combines the minimum velocity norm (MVN), the repetitive motion planning (RMP), and the infinity-norm velocity minimization (INVM) through the weighting factors, which guarantees the joint velocity to be near zero after finishing the redundant manipulators task. At the same time, the scheme considers the joint-angle and joint-velocity physical limits, which can keep the joint angle and joint velocity within their given range and prevent the occurrence of high joint velocity during the task duration. Finally, the VLTCO scheme is reformulated as one general quadratic program (QP) problem. The QP problem is then solved by a linear-variational-inequality-based primal–dual neural network solver (LVI-PDNN). The validity and advantages of the VLTCO scheme are substantiated by the simulation results and the physical experiment based on the JACO2 redundant manipulator.

Tricriteria Optimization-Coordination Motion of Dual-Redundant-Robot Manipulators for Complex Path Planning

To remedy the discontinuity phenomenon existing in the infinity-norm velocity minimization (INVM) scheme, prevent the occurrence of high joint velocity, and decrease the joint-angle drift of redundant robot manipulators, a new type of tricriteria optimization-coordination-motion (TCOCM) scheme is proposed and investigated for dual-redundant-robot manipulators to track complex end-effector paths. Besides, the proposed scheme considers joint physical constraints (i.e., joint-angle limits and joint-velocity limits) and guarantees the joint velocity to approach zero at the end of tasks. Such a new-type TCOCM scheme combines the minimum velocity norm (MVN), repetitive motion planning (RMP), and INVM solutions via two weighting factor, and thus is termed MVN-RMP-INVM-TCOCM scheme. The proposed scheme consists of two subschemes, i.e., subscheme for the left robot manipulator and subscheme for the right robot manipulator. To control the dual arms simultaneously and collaboratively, two subschemes are reformulated as two general quadratic programming (QP) problems and further unified into one QP formulation. The unified QP problem is then solved by a simplified linear-variational-inequalities-based primal–dual neural network solver. Computer simulation results based on dual PUMA560 robot manipulators are illustrated to substantiate the advantage, efficacy, and applicability of the proposed MVN-RMP-INVM-TCOCM scheme to resolve the redundancy of dual-robot manipulators.