CMOR Technical Reports

Permanent URI for this collection

https://hdl.handle.net/1911/101542

Computational Applied Mathematics and Operations Research (CMOR) technical reports 1981-present. Use the "Browse" bar to filter by date, author, etc.

Browse

Now showing 1 - 11 of 11

An Efficient Class of Direct Search Surrogate Methods for Solving Expensive Optimization Problems with CPU-Time-Related Functions
(2008-06) Abramson, Mark A.; Asaki, Thomas J.; Dennis, J.E. Jr.; Magallanez, Raymond; Sottile, Matthew J.
In this paper, we characterize a new class of computationally expensive optimization problems and introduce an approach for solving them. In this class of problems, objective function values may be directly related to the computational time required to obtain them, so that, as the optimal solution is approached, the computational time required to evaluate the objective is significantly less than at points farther away from the solution. This is motivated by an application in which each objective function evaluation requires both a numerical fluid dynamics simulation and an image registration process, and the goal is to find the parameter values of a predetermined reference image by comparing the flow dynamics from the numerical simulation and the reference image through the image comparison process. In designing an approach to numerically solve the more general class of problems in an efficient way, we make use of surrogates based on CPU times of previously evaluated points, rather than their function values, all within the search step framework of mesh adaptive direct search algorithms. Because of the expected positive correlation between function values and their CPU times, a time cutoff parameter is added to the objective function evaluation to allow its termination during the comparison process if the computational time exceeds a specified threshold. The approach was tested using the NOMADm and DACE MATLAB software packages, and results are presented.
Characteristic Shape Sequences for Measures on Images
(2006-11) Pingel, Rachael L.; Abramson, Mark A.; Asaki, Thomas J.; Dennis, J.E. Jr.
Researchers in many fields often need to quantify the similarity between images using metrics that measure qualities of interest in a robust quantitative manner. We present here the concept of image dimension reduction through characteristic shape sequences. We formulate the problem as a nonlinear optimization program and demonstrate the solution on a test problem of extracting maximal area ellipses from two-dimensional image data. To solve the problem numerically, we augment the class of mesh adaptive direct search (MADS) algorithms with a filter, so as to allow infeasible starting points and to achieve better local solutions. Results here show that the MADS filter algorithm is successful in the test problem of finding good characteristic ellipse solutions from simple but noisy images.
Convergence of Mesh Adaptive Direct Search to Second-Order Stationary Points
(2005-08) Abramson, Mark A.; Audet, Charles
A previous analysis of second-order behavior of pattern search algorithms for unconstrained and linearly constrained minimization is extended to the more general class of mesh adaptive direct search (MADS) algorithms for general constrained optimization. Because of the ability of MADS to generate an asymptotically dense set of search directions, we are able to establish reasonable conditions under which a subsequence of MADS iterates converges to a limit point satisfying second-order necessary or sufficient optimality conditions for general set-constrained optimization problems.
Filter Pattern Search Algorithms for Mixed Variable Constrained Optimization Problems
(2004-06) Abramson, Mark A.; Audet, Charles; Dennis, J.E. Jr.
A new class of algorithms for solving nonlinearly constrained mixed variable optimization problems is presented. This class combines and extends the Audet-Dennis Generalized Pattern Search (GPS) algorithms for bound constrained mixed variable optimization, and their GPS-filter algorithms for general nonlinear constraints. In generalizing existing algorithms, new theoretical convergence results are presented that reduce seamlessly to existing results for more specific classes of problems. While no local continuity or smoothness assumptions are required to apply the algorithm, a hierarchy of theoretical convergence results based on the Clarke calculus is given, in which local smoothness dictate what can be proved about certain limit points generated by the algorithm. To demonstrate the usefulness of the algorithm, the algorithm is applied to the design of a load-bearing thermal insulation system. We believe this is the first algorithm with provable convergence results to directly target this class of problems.
Generalized Pattern Searches with Derivative Information
(2002-06) Abramson, Mark A.; Audet, Charles; Dennis, J.E. Jr.
A common question asked by users of direct search algorithms is how to use derivative information at iterates where it is available. This paper addresses that question with respect to Generalized Pattern Search (GPS) meth-ods for unconstrained and linearly constrained optimization. Specifically this paper concentrates on the GPS POLL step. Polling is done to certify the need to refine the current mesh, and it requires O(n) function evaluations in the worst case. We show that the use of derivative information significantly reduces the maximum number of function evaluations necessary for POLL steps, even to a worst case of a single function evaluation with certain algorithmic choices given here. Furthermore, we show that rather rough approximations to the gradient are sufficient to reduce the POLL step to a single function evaluation. We prove that using these less expensive POLL steps does not weaken the known convergence properties of the method, all of which depend only on the POLL step.
Mixed Variable Optimization of a Load-Bearing Thermal Insulation System Using a Filter Pattern Search Algorithm
(2002-12) Abramson, Mark A.
This paper describes the optimization of a load-bearing thermal insulation system characterized by hot and cold surfaces with a series of heat intercepts and insulators between them. The optimization problem is represented as a mixed variable programming (MVP) problem with nonlinear constraints, in which the objective is to minimize the power required to maintain the heat intercepts at fixed temperatures so that one surface is kept sufficiently cold. MVP problems are more general than mixed integer nonlinear programming (MINLP) problems in that the discrete variables are categorical; i.e., they must always take on values from a predefined enumerable set or list. Thus, traditional approaches that use branch and bound techniques cannot be applied. In a previous paper, a linearly contrained version of this problem was solved numerically using the Audet-Dennis generalized pattern search (GPS) method for MVP problems. However, this algorithm may not work for problems with general nonlinear constraints. A new algorithm that extends that of Audet and Dennis by incorporating a filter to handle nonlinear constraints makes it possible to solve the more general problem. Additional nonlinear constraints on stress, mass, and thermal contraction are added to that of the previous work in an effort to find a more realistic feasible design. Several computational experiments show a substantial improvement in power required to maintain the system, as compared to the previous literature. The addition of the new constraints leads to a very different design without significantly changing the power required. The results demonstrate that the new algorithm can be applied to a very broad class of optimization problems, for which no previous algorithm with provable convergence results could be applied.
ORTHOMADS: A Deterministic MADS Instance with Orthogonal Directions
(2008-02) Abramson, Mark A.; Audet, Charles; Dennis, J.E. Jr.; Le Digabel, Sébastien
The purpose of this paper is to introduce a new way of choosing directions for the Mesh Adaptive Direct Search (MADS) class of algorithms. The advantages of this new OrthoMADS instantiation of MADS are that the polling directions are chosen deterministically, ensuring that the results of a given run are repeatable, and that they are orthogonal to each other, therefore the convex cones of missed directions at each iteration are minimal in size. The convergence results for OrthoMADS follow directly from those already published for MADS, and they hold deterministically, rather than with probability one, as for LTMADS, the first MADS instance. The initial numerical results are quite good for both smooth and nonsmooth, and constrained and unconstrained problems considered here.
Pattern Search Algorithms for Mixed Variable General Constrained Optimization Problems
(2002-08) Abramson, Mark A.
A new class of algorithms for solving nonlinearly constrained mixed variable optimization problems is presented. The Audet-Dennis Generalized Pattern Search (GPS) algorithm for bound constrained mixed variable optimization problems is extended to problems with general nonlinear constraints by incorporating a filter, in which new iterates are accepted whenever they decrease the incumbent objective function value or constraint violation function value. Additionally, the algorithm can exploit any available derivative information (or rough approximation thereof) to speed convergence without sacrificing the flexibility often employed by GPS methods to find better local optima. In generalizing existing GPS algorithms, the new theoretical convergence results presented here reduce seamlessly to existing results for more specific classes of problems. While no local continuity or smoothness assumptions are made, a hierarchy of theoretical convergence results is given, in which the assumptions dictate what can be proved about certain limit points of the algorithm. A new Matlab® software package was developed to implement these algorithms. Numerical results are provided for several nonlinear optimization problems from the CUTE test set, as well as a difficult nonlinearly constrained mixed variable optimization problem in the design of a load-bearing thermal insulation system used in cryogenic applications.
Pattern Search in the Presence of Degeneracy
(2003-08) Abramson, Mark A.; Brezhneva, Olga A.; Dennis, J.E. Jr.; Pingel, Rachael L.
This paper deals with generalized pattern search (GPS) algorithms for linearly constrained optimization. At each iteration, the GPS algorithm generates a set of directions that conforms to the geometry of any nearby linear constraints. This set is then used to construct trial points to be evaluated during the iteration. In previous work, Lewis and Torczon developed a scheme for computing the conforming directions; however, the issue of degeneracy merits further investigation. The contribution of this paper is to provide a detailed algorithm for constructing the set of directions whether or not the constraints are degenerate. One difficulty in the degenerate case is in classifying constraints as redundant or nonredundant. We give a short survey of the main definitions and methods for treating redundancy and propose an approach to identify nonredundant "-active constraints, which may be useful for other active set algorithms. We also introduce a new approach for handling nonredundant linearly dependent constraints, which maintains GPS convergence properties without significantly increasing computational cost. Some simple numerical tests illustrate the effectiveness of the algorithm. We conclude by briefly considering the extension of our ideas to nonlinear constrained optimization in which constraint gradients are linearly dependent.
Quantitative Object Reconstruction using Abel Transform X-Ray Tomography and Mixed Variable Optimization
(2007-02) Abramson, Mark A.; Asaki, Thomas J.; Dennis, J.E. Jr.; O'Reilly, Kevin R.; Pingel, Rachael L.
This paper introduces a new approach to the problem of quantitatively reconstructing cylindrically symmetric objects from radiograph data obtained via x-ray tomography. Specifically, a mixed variable programming (MVP) problem is formulated, in which the variables of interest are the number and types of materials and the thickness of each concentric layer. The objective function is a measure of distance between one-dimensional radiograph data and a material property vector operated on by a forward projection based on the Abel transform. The mixed variable pattern search (MVPS) algorithm for linearly constrained MVP problems is applied to the problem by means of the NOMADm MATLAB® software package. Numerical results are presented for several test configurations and show that, while there are difficulties yet to be overcome, the method appears to be very promising for solving this class of problems in practice.
Second Order Behavior of Pattern Search Algorithms
(2004-01) Abramson, Mark A.
Previous analyses of pattern search algorithms for unconstrained and linearly constrained minimization have focused on proving convergence of a subsequence of iterates to a limit point satisfying either directional or first-order necessary conditions for optimality, depending on the smoothness of the objective function in a neighborhood of the limit point. Even though pattern search methods require no derivative information, we are able to prove some limited directional second-order results. Although not as strong as classical second-order necessary conditions, these results are stronger than the first order conditions that many gradient-based methods satisfy. Under fairly mild conditions, we can eliminate from consideration all strict local maximizers and an entire class of saddle points.

Browse

Browsing CMOR Technical Reports by Author "Abramson, Mark A."

Results Per Page

Sort Options