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An Augmented Lagrangian Filter Method for Real-Time Embedded Optimization

Nai-Yuan Chiang (chiangn***at***utrc.utc.com)
Rui Huang (huangr***at***utrc.utc.com)
Victor M. Zavala (victor.zavala***at***wisc.edu)

Abstract: We present a filter line-search algorithm for nonconvex continuous optimization that combines an augmented Lagrangian function and a constraint violation metric to accept and reject steps. The approach is motivated by real-time optimization applications that need to be executed on embedded computing platforms with limited memory and processor speeds. In particular, the proposed method enables primal-dual regularization of the linear algebra system that in turn permits the use of solution strategies with lower computing overheads. We prove that the proposed the algorithm is globally convergent and we demonstrate the developments using a nonconvex real-time optimization application for a building heating, ventilation, and air conditioning system. Our numerical tests are performed on a standard processor and on an embedded platform and demonstrate that the approach enables reductions in solution times of up to three orders of magnitude compared to an standard filter implementation.

Keywords: Real-time, nonconvex, optimization, control, embedded

Category 1: Applications -- Science and Engineering

Category 2: Nonlinear Optimization

Category 3: Optimization Software and Modeling Systems


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Entry Submitted: 10/05/2016
Entry Accepted: 10/05/2016
Entry Last Modified: 10/05/2016

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