ALESQP: An augmented Lagrangian equality-constrained SQP method for optimization with general constraints
Harbir Antil (hantilgmu.edu)
Abstract: We present a new algorithm for infinite-dimensional optimization with general constraints, called ALESQP. In short, ALESQP is an augmented Lagrangian method that penalizes inequality constraints and solves equality-constrained nonlinear optimization subproblems at every iteration. The subproblems are solved using a matrix-free trust-region sequential quadratic programming (SQP) method that takes advantage of iterative, i.e., inexact linear solvers and is suitable for large-scale applications. A key feature of ALESQP is a constraint decomposition strategy that allows it to exploit problem-specific variable scalings and inner products. We analyze convergence of ALESQP under different assumptions. We show that strong accumulation points are stationary. Consequently, in finite dimensions ALESQP converges to a stationary point. In infinite dimensions we establish that weak accumulation points are feasible in many practical situations. Under additional assumptions we show that weak accumulation points are stationary. We present several infinite-dimensional examples where ALESQP shows remarkable discretization-independent performance in all its iterative components, requiring a modest number of iterations to meet constraint tolerances at the level of machine precision. Also, for the first time, we demonstrate a fully matrix-free solution of an infinite-dimensional problem with nonlinear inequality constraints.
Keywords: ALESQP; augmented Lagrangian; composite step trust-region method; SQP; convergence analysis; constraint decomposition; nonlinear constraint map
Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )
Category 2: Nonlinear Optimization
Category 3: Infinite Dimensional Optimization
Citation: Submitted for publication, Sandia National Laboratories, 2020.
Entry Submitted: 01/26/2021
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