﻿A New Lagrangian Multiplier Method on Constrained Optimization

Applied Mathematics
Vol.3 No.10A(2012), Article ID:24125,6 pages DOI:10.4236/am.2012.330198

A New Lagrangian Multiplier Method on Constrained Optimization*

Youlin Shang#, Shengli Guo, Xiangyi Jiang

Department of Mathematics, Henan University of Science and Technology, Luoyang, China

Email: #mathshang@sina.com

Received July 8, 2012; revised August 8, 2012; accepted August 15, 2012

Keywords: Nonlinear Programming; NCP Function; Lagrange Function; Multiplier; Convergence

ABSTRACT

In this paper, a new augmented Lagrangian function with 4-piecewise linear NCP function is introduced for solving nonlinear programming problems with equality constrained and inequality constrained. It is proved that a solution of the original constrained problem and corresponding values of Lagrange multipliers can be found by solving an unconstrained minimization of the augmented Lagrange function. Meanwhile, a new Lagrangian multiplier method corresponding with new augmented Lagrangian function is proposed. And this method is implementable and convergent.

1. Introduction

Considering the following nonlinear inequality constrained optimization Problem (NLP):

(1)

where and

are continuously differentiable functions.

We denote by

the feasible set of the problem (NLP).

The Lagrangian function associated with the problem (NLP) is the function

where

are the multiplier vectors, For simplicity, we use to denote the column vector

Defintion 1.1. A point is called a Karush-Kuhn-Tucker (KKT) point or a KKT pair of Problem (NLP), if it satisfies the following conditions:

(2)

where, we also say is a KKT point if there exists a such that satisfies (2).

For the nonlinear inequality constrained optimization problem (NLP), there are many practical methods to solve it, such as augmented Lagrangian function method [1-6], Trust-region filter method [7,8], QP-free feasible method [9,10], Newton iterative method [11,12], etc. As we know, Lagrange multiplier method is one of the efficient methods to solve problem (NLP). Pillo and Grippo in [1-3] proposed a class of augmented Lagrange function methods which have nice equivalence between the unconstrained optimization and the primal constrained problem and get good convergence properties of the related algorithm. However, a max function is used for these methods which may be not differentiable at infinite numbers of points. To overcome this shortcoming, Pu in [4] proposed a augmented Lagrange function with FischerBurmeister nonlinear NCP function and Lagrange multiplier methods. Pu and Ding in [6] proposed a Lagrange multiplier methods with 3-piecewise linear NCP function. In this paper, a new class augmented Lagrange function with 4-piecewise linear NCP function and some Lagrange multiplier methods are proposed for the minimization of a smooth function subject to smooth inequality constraints and equality constrains.

The paper is organized as follows: In the next section we give some definitions and properties about NCP function, and then define a new augmented Lagrange function with 4-piecewise NCP function. In Section three, we give the algorithm. In Section four, we prove convergence of the algorithm. Some conclusions are given in Section five.

2. Preliminaries

In this section, we recall some definitions and define a new Lagrange multiplier function with 4-piecewise NCP function.

Definition 2.1 (NCP pair and SNCP pair). We call a pair (a, b) to be an NCP pair if and ab = 0; and call (a, b) to be an SNCP pair if (a, b) is a pair and.

Definition 2.2 (NCP function). A function is called an NCP function if if and only is an NCP pair.

In this paper, we propose a new 4-piecewise linear NCP function is as follows:

(3)

If, then

(4)

and

(5)

It is easy to check the following propositions:

1);

2) The square of is continuously differentiable;

3) is twice continuously differentiable everywhere except at the origin but it is strongly semi-smooth at the origin.

Let

where is a parameter. if and only if, and for any.

We construct function:

Clearly, the KKT point condition (2) is equivalently reformulate as the condition:

If, then is continuously differentiable at. We have

(6)

where is the ith column of the unit matrix, its jth element is 1, and other elements are 0, in this paper take k = 1.

If, and then is strongly semi-smooth and direction differentiable at. We have

(7)

For Problem (NLP), we define a Di Pillo and Grippo type Lagrange multiplier function with 4-piecewise linear NCP function is as following:

(8)

where

are the Lagrange multiplier, C and D are positive parameters.

In this section, we gave some assumptions as follows:

Assumpion 1 f, , ,

are twice Lipschitz continuously differentiable.

Define index set and as follows:

for any, according to definition of, have

for any, we have 1) if, we have

(9)

(10)

The Henssian matrix of at KKT point is

(11)

2) if, then

(12)

(13)

The Henssian matrix of at KKT point is

(14)

Definition 2.3 A point is said to satisfy the strong second-order sufficiency condition for problem (NLP) if it satisfies the first-order KKT condition and if for all

and.

Assumption 2 At any KKT point satisfied strong second-order sufficiency condition.

Lemma If is a positive semi-definite matrix, for any, , matrix satisfied, then exist, for any, is positive definite matrix (see [4]).

Theorem 2.1 If is KKT point of problem (1), then for sufficiently large C and D, is strong convex function at point.

Proof: Let

for, we have

from A2, we have. Furthermore there is if, for any, is positive definite matrix. And then for any and sufficiently large C and D have

by its continuously, we may obtained that there is, for all

we have the theorem hold.

3. Lagrange Multiplier Algorithm

Step 0 Choose parameters, , , , given point, and

Let.

Step 1 Solve following, we will obtain.

if and then stop.

Step 2 For, , then or, for, if

then, or

Step 3 Compute and

Step 4 Let k = k + 1, go to Step 1.

4. Convergence of the Algorithm

In this section, we make a assumption follow as:

Assumption 3 For any, , , ,

exists a minimizer point.

Theorem 4.1 Assume feasible set of problem (NLP) is non-empty set and is bounded, then algorithm is bound to stop after finite steps iteration.

Proof: Assume that the algorithm can not stop after finite steps iteration, by the sack of convenience, we define index set as following

according to assumption A3, it is clearly that or are non-empty set. for any k, obtain

from above assumption, we obtain that for any a there is, for any and, and, for sufficiently large k, it is not difficult to see that

Or for any and, and, for sufficiently large k, have

When we can hold

Which contradicts A3, the theorem holds.

Theorem 4.2 Let is a compact set, sequence are generated by the algorithm, and, in algorithm, 0 take the place of, either algorithm stops at its and is solution of problem(NLP), or for any an accumulation of sequence, is solution of problem (NLP).

Proof: Because the algorithm stops at its, then we have

(15)

for, , it is easy to see that for any have

It is from Step 2 of the algorithm that we have

(16)

putting (15) (16) into (10) or (13), we can obtain

for, , according to definition of

, we can obtain, that

First part of the theorem holds， is solution of problem (NLP).

On the other hand, if the algorithm is not stop at, for any accumulation point of sequence, from theorem 4.1, we can obtain, for any positive number C, that

for any, have

Let,have

Clearly, second part of the theorem holds. is solution of problem (NLP).

5. Conclusion

A new Lagrange multiplier function with 4-piecewise linear NCP function is proposed in this paper which has a nice equivalence between its solution and solution of original problem. We can solve it to obtain solution of original constrained problem, the algorithm corresponding with it be endowed with convergence.

6. Acknowledgements

This paper was partially supported by the NNSF of China under Grant No. 10971053, and NNSF of Henan under Grant No. 094300510050.

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NOTES

*This paper was partially supported by the National Natural Science Foundation of China under Grant No. 10971053, and NNSF of Henan Province under Grant No. 094300510050.

#Corresponding author.