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 Nonlinear Optimization Examples

## Example 11.8: Time-Optimal Heat Conduction

This example illustrates a nontrivial application of the NLPQN algorithm that requires nonlinear constraints, which are specified by the nlc module. The example is listed as problem 91 in Hock & Schittkowski (1981). The problem describes a time-optimal heating process minimizing the simple objective function

subjected to a rather difficult inequality constraint:
where h(x) is defined as
The gradient of the objective function f, g(x) = 2x, is easily supplied to the NLPQN subroutine. However, the analytical derivatives of the constraint are not used; instead, finite difference derivatives are computed.

In the following code, the vector MU represents the first 30 positive values that satisfy :

   proc iml;
mu = { 8.6033358901938E-01 ,    3.4256184594817E+00 ,
6.4372981791719E+00 ,    9.5293344053619E+00 ,
1.2645287223856E+01 ,    1.5771284874815E+01 ,
1.8902409956860E+01 ,    2.2036496727938E+01 ,
2.5172446326646E+01 ,    2.8309642854452E+01 ,
3.1447714637546E+01 ,    3.4586424215288E+01 ,
3.7725612827776E+01 ,    4.0865170330488E+01 ,
4.4005017920830E+01 ,    4.7145097736761E+01 ,
5.0285366337773E+01 ,    5.3425790477394E+01 ,
5.6566344279821E+01 ,    5.9707007305335E+01 ,
6.2847763194454E+01 ,    6.5988598698490E+01 ,
6.9129502973895E+01 ,    7.2270467060309E+01 ,
7.5411483488848E+01 ,    7.8552545984243E+01 ,
8.1693649235601E+01 ,    8.4834788718042E+01 ,
8.7975960552493E+01 ,    9.1117161394464E+01  };


The vector A = (A1, ... ,A30)' depends only on and is computed only once, before the optimization starts:

   nmu  = nrow(mu);
a = j(1,nmu,0.);
do i = 1 to nmu;
a[i] = 2*sin(mu[i]) / (mu[i] + sin(mu[i])*cos(mu[i]));
end;


The constraint is implemented with the QUAD subroutine, which performs numerical integration of scalar functions in one dimension. The subroutine calls the module fquad that supplies the integrand for h(x). For details on the QUAD call, see the "QUAD Call" section.

  /* This is the integrand used in h(x) */
z = (rho * cos(s*mu) - 0.5*(1. - s##2))##2;
return(z);
finish;

/* Obtain nonlinear constraint h(x) */
start h(x) global(n,nmu,mu,a,rho);
xx = x##2;
do i= n-1 to 1 by -1;
xx[i] = xx[i+1] + xx[i];
end;
rho = j(1,nmu,0.);
do i=1 to nmu;
mu2 = mu[i]##2;
sum = 0; t1n = -1.;
do j=2 to n;
t1n = -t1n;
sum = sum + t1n * exp(-mu2*xx[j]);
end;
sum = -2*sum + exp(-mu2*xx[1]) + t1n;
rho[i] = -a[i] * sum;
end;
aint = do(0,1,.5);
v = sum(z);
return(v);
finish;


The modules for the objective function, its gradient, and the constraint are given in the following code:

  /* Define modules for NLPQN call: f, g, and c */
start F_HS88(x);
f = x * x;
return(f);
finish F_HS88;

start G_HS88(x);
g = 2 * x;
return(g);
finish G_HS88;

start C_HS88(x);
c = 1.e-4 - h(x);
return(c);
finish C_HS88;


The number of constraints returned by the "nlc" module is defined by opt[10]=1. The ABSGTOL termination criterion (maximum absolute value of the gradient of the Lagrange function) is set by tc[6]=1E-4.

   print 'Hock & Schittkowski Problem #91 (1981) n=5, INSTEP=1';
opt  = j(1,10,.);
opt[2]=3;
opt[10]=1;
tc   = j(1,12,.);
tc[6]=1.e-4;
x0 = {.5 .5 .5 .5 .5};
n = ncol(x0);
call nlpqn(rc,rx,"F_HS88",x0,opt,,tc) grd="G_HS88" nlc="C_HS88";
`

Part of the iteration history and the parameter estimates are shown in Output 11.8.1.

Output 11.8.1: Iteration History and Parameter Estimates

 Dual Quasi-Newton Optimization

 Modified VMCWD Algorithm of Powell (1978, 1982)

 Dual Broyden - Fletcher - Goldfarb - Shanno Update (DBFGS)

 Lagrange Multiplier Update of Powell(1982)

 Jacobian Nonlinear Constraints Computed by Finite Differences

 Parameter Estimates 5 Nonlinear Constraints 1

 Optimization Start Objective Function 1.25 Maximum Constraint Violation 0.0952775105 Maximum Gradient of the Lagran Func 1.1433393624

 Iteration Restarts FunctionCalls ObjectiveFunction MaximumConstraintViolation PredictedFunctionReduction StepSize MaximumGradientElementof theLagrangeFunction 1 0 3 0.81165 0.0869 1.7562 0.100 1.325 2 0 4 0.18232 0.1175 0.6220 1.000 1.207 3 * 0 5 0.34567 0.0690 0.9321 1.000 0.639 4 0 6 0.77699 0.0132 0.3498 1.000 1.329 . . . . . . . . . . . . . . . . . . . . . . . . . . . 21 0 30 1.36266 8.06E-12 1.075E-6 1.000 0.00009

 Optimization Results Iterations 21 Function Calls 31 Gradient Calls 23 Active Constraints 1 Objective Function 1.3626568064 Maximum Constraint Violation 8.05972E-12 Maximum Projected Gradient 0.0000966554 Value Lagrange Function 1.3626568149 Maximum Gradient of the Lagran Func 0.0000889516 Slope of Search Direction -1.074804E-6

 ABSGCONV convergence criterion satisfied.

 Optimization Results Parameter Estimates N Parameter Estimate GradientObjectiveFunction GradientLagrangeFunction 1 X1 0.860296 1.720591 0.000031041 2 X2 0.000002240 0.000004481 0.000015290 3 X3 0.643469 1.286938 0.000021632 4 X4 0.456614 0.913227 -0.000088952 5 X5 0.000000905 0.000001811 0.000077582

 Value of Objective Function = 1.3626568064

 Value of Lagrange Function = 1.3626568149

Problems 88 to 92 of Hock and Schittkowski (1981) specify the same optimization problem for n=2 to n=6. You can solve any of these problems with the preceding code by submitting a vector of length n as the initial estimate, x0.

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