Multidisciplinary System Design Optimization (MSDO)

Multidisciplinary System
Design Optimization (MSDO)
Numerical Optimization II
Lecture 8
Karen Willcox
1 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

Engineering Systems Division and Dept. of Aeronautics and Astronautics
Todays Topics
Sequential Linear Programming

Penalty and Barrier Methods
Sequential Quadratic Programming

Technique Overview
Steepest Descent UNCONSTRAINED
Conjugate Gradient
Quasi-Newton
Newton
Simplex linear
CONSTRAINED
SLP often not effective
SQP nonlinear, expensive, common in engineering applications
Exterior Penalty nonlinear, discontinuous design spaces
Interior Penalty nonlinear
Generalized Reduced Gradient nonlinear
Method of Feasible Directions nonlinear
Mixed Integer Programming

Standard Problem Definition
min J ( x)
s.t. g j (x ) 0 j 1,.., m1
hk (x ) 0 k 1,.., m2
u
xi xi x i i 1,.., n
For now, we consider a single objective function, J(x).

There are n design variables, and a total of m
constraints (m=m1+m2).
For now we assume all xi are real and continuous.
Optimization Process
x0, q=0
Calculate J(xq)
Calculate Sq
q=q+1
Perform 1-D search

xq = xq-1 + Sq
no yes
Converged? Done

Constrained Optimization
Definitions:
Feasible design: a design that satisfies all
constraints
Infeasible design: a design that violates one or
more constraints
Optimum design: the choice of design variables
that minimizes the objective function while
satisfying all constraints
In general, constrained optimization algorithms try to cast

the problem as an unconstrained optimization and then
use one of the techniques we looked at in Lecture 7.

Linear Programming
Most engineering problems of interest are nonlinear
Can often simplify nonlinear problem by linearization
LP is often the basis for developing more
complicated NLP algorithms
Standard LP problem:
n
min J ( x ) ci xi min J ( x) cT x
i 1
n
Ax b
aij xi bj j 1,.., m xi 0 i 1,..., n
i 1
xi 0 i 1,..., n
All LP problems can be converted to this form.
Linear Programming
To convert inequality constraints to equality constraints,
use additional design variables:
n n
a ji xi b j becomes a ji xi xn 1 bj
i 1 i 1
where xn+1 0
xn+1 is called a slack variable
e.g. the constraint

x1+x2 1
can be written
if x3=0, this
x1+x2+x3=1 constraint is
xi 0, i=1,2,3 active
Simplex Method
Solutions at the vertices of the design space are called basic
feasible solutions.
The Simplex algorithm moves from BFS to BFS so that the
objective always improves.
feasible
region
basic
feasible
solution
Consider a general nonlinear problem linearized via first order
Taylor series:
min J ( x) J(x0 ) J ( x 0 )T x
s.t. g j (x ) g j (x 0 ) g j ( x 0 )T x 0
hk (x) hk ( x 0 ) hk ( x 0 )T x 0
xi xi xi xiu
where x x x0
This is an LP problem with the design variables contained in x. The

functions and gradients evaluated at x0 are constant coefficients.

1. Initial guess x0
2. Linearize about x0 using first-order Taylor series
3. Solve resulting LP to find x
4. Update: x1 = x0 + x
5. Linearize about x1 and repeat:
xq = xq-1 + x
where x is the solution of an LP (model linearized

about xq-1).

Linearization approximation is only valid close

to x0
Need to restrict size of update x
Not considered to be a good method

Nonlinear vs. Linear Constraints
Linear constraints:
start from initial feasible point, then all
subsequent iterates are feasible feasible
can construct search direction & step region
length so that constraints are satisfied
improvement from xk to xk+1 based on J(x)
Nonlinear constraints:
not straightforward to generate a
sequence of feasible iterates
if feasibility is not maintained, then need to
decide whether xk+1 is better than xk

Merit Function
Is objective
reduced?
merit
function
Are constraints
satisfied?
merit function = f(J(x), g(x), h(x))
examples: penalty function methods, barrier function methods

Subproblems
Many optimization algorithms get to the optimum by generating and
solving a sequence of subproblems that are somehow related to the
original problem.
Typically there are two tasks at each iteration:
1. Calculate search direction
2. Calculate the step length
Sometimes, the initial formulation of a subproblem may be defective
i.e. the subproblem has no solution or the solution is
unbounded
A valid subproblem is one for which a solution exists and is well
defined
The option to abandon should be available if the subproblem
appears defective
It is possible that a defective subproblem is an accurate reflection of
the original problem having no valid solution
General Approach:
minimize objective as unconstrained function
provide penalty to limit constraint violations
magnitude of penalty varies throughout optimization
called sequential unconstrained minimization
techniques (SUMT)
create pseudo-objective:
(x, rp ) J(x) rpP(x)

J(x) = original objective function
P(x) = imposed penalty function
rp = scalar multiplier to determine penalty magnitude
p = unconstrained minimization number
Penalty method approaches useful for incorporating

16
constraints into derivative-free and heuristic search algorithms.
Penalty Methods
Four basic methods:
(i) Exterior Penalty Function Method
(ii) Interior Penalty Function Method
(Barrier Function Method)
(iii) Log Penalty Function Method
(iv) Extended Interior Penalty Function Method
Effect of penalty function is to create a local minimum of

unconstrained problem near x*.
Penalty function adds a penalty for infeasibility, barrier
function adds a term that prevents iterates from becoming
infeasible.

Exterior Penalty Function Method
(x, p ) J ( x) p P ( x)
m1 2 m2
2
P (x) max 0, g j (x) hk (x)
j 1 k 1
if all constraints are satisfied, then P(x)=0

p = penalty parameter; starts as a small number and
increases
if p is small, (x, p) is easy to minimize but yields large
constraint violations
if p is large, constraints are all nearly satisfied but
optimization problem is numerically ill-conditioned
if optimization stops before convergence is reached, the
design will be infeasible
Quadratic Penalty Function
1
m m2
2 2
Q (x, p ) J ( x) p g j (x) hk (x)
j 1 k 1
g j (x) contains those inequality constraints that are

violated at x.
It can be shown that lim x* ( p ) x*
p
Q(x, p) is well-defined everywhere
Algorithm: -choose 0, set k=0

-find min Q(x, k) xk*
-if not converged, set k+1 > k, k k+1 and repeat
Note: xk* could be infeasible wrt the original problem
Quadratic Penalty Function Example
Q(x, rp)
min J ( x ) x 2 = 10
s.t. x 1 0 =5
=2
=1
2+ (1-x)2 J(x)
Q(x, )=x
* * * *
x
0 1

Absolute Value Penalty Function
1
m m2
A (x, p ) J (x) p g j (x) hk (x)

j 1 k 1
where g j (x) contains those inequality constraints which

are violated at x.
A has discontinuous derivatives at points where g j (x)
or hk (x ) are zero.
The crucial difference between Q and A is that we
do not require p for x* to be a minimum of A, so
we can avoid ill-conditioning
Instead, for some threshold p , x* is a minimum of A
for any p p
Sometimes called exact penalty functions
Absolute Value Penalty Function Example
A(x, )
= 10
min J ( x ) x 2
=5
s.t. x 1 0
=2
= 1.5
=1
(x, )=x2+ |1-x| J(x)
* *
x
0 1

Interior Penalty Function Method
(Barrier Function Method)
1
m Pj (x)
1
P (x)
j j (x)
1 g gj(x)
1
m m2
1 2
(x, rp , ) J(x) rp hk ( x)
p
j j (x)
1g
p
k 1
rp = barrier parameter; starts as a large positive number

and decreases
barrier function for inequality constraints only
sequence of improving feasible designs
(x,rp , p) discontinuous at constraint boundaries
Barrier Function Method
m1
P (x) ln g j (x)
j 1
1
m
L (x, rp , p ) J ( x) rp ln g j ( x)
j 1
1
often better numerically conditioned than g ( x )
j
penalty function has a positive singularity at the
boundary of the feasible region
penalty function is undefined for gi(x)>0
lim x* (rp ) x*
rp 0

Barrier Function Example
L(x,r)
min J( x) x 2
s.t. x 1 0 r=5
r=1
10
r = 0.5
2-r
L(x,r)=x ln(x-1) r = 0.1
J(x)
x
0 1

Extended Interior Penalty Function Method
Combine features of interior/exterior methods

m1
P (x) g j (x) -linear extended
j 1 penalty function
1
where g j (x) if g j ( x)
g j (x)
2 g j (x)
2
if g j ( x)
- is a small negative number, and marks transition from interior

penalty to extended penalty
- must be chosen so that has positive slope at constraint
boundary
-can also use quadratic extended and variable penalty functions
Create a quadratic approximation to the Lagrangian

Create linear approximations to the constraints
Solve the quadratic problem to find the search
direction, S
Perform the 1-D search
Update the approximation to the Lagrangian

Create a subproblem
with quadratic objective function:
k k k T k 1 T
min Q(S ) J(x ) J(x ) S S BS
2
and linear constraints
s.t. g j ( x k )T Sk g j (x k ) 0 j 1, , m1
hk ( x k )T Sk hk ( x k ) 0 k 1, , m2
Design variables are the components of S

B=I initially, then is updated to approximate H
(as in quasi-Newton)
Incompatible Constraints
The constraints of the subproblem can be incompatible,
even if the original problem has a well-posed solution
For example, two linearized constraints could be linearly
dependent
This is a common occurrence in practice
Likelihood of incompatible constraints reduced by allowing
flexibility in RHS (e.g. allow scaling factors in front of gj(xk)
term)
g j (x k )T Sk g
j j ( x k
) 0 j 1, , m1
Typically =0.9 if constraint is violated and =1 otherwise
Doesnt affect convergence, since specific form of
constraint is only crucial when xk is close to x*

Widely used in engineering applications e.g. NLOpt

Considered to be one of the best gradient-based
algorithms
Fast convergence for many problems
Strong theoretical basis
MATLAB: fmincon (medium scale)

Lecture Summary
We have seen the following nonlinear techniques:
It is important to understand
when it is appropriate to use these methods
the basics of how the method works
why the method might fail
what your results mean (numerically vs. physically)

References
Practical Optimization, P.E. Gill, W. Murray and M.H.

Wright, Academic Press, 1986.
Numerical Optimization Techniques for Engineering

Design, G.N. Vanderplaats, Vanderplaats R&D, 1999.
Optimal Design in Multidisciplinary Systems, AIAA

Professional Development Short Course Notes,
September 2002.
NLOPT: Open-source library for nonlinear optimization

http://ab-initio.mit.edu/wiki/index.php/NLopt_Algorithms

MIT OpenCourseWare
http://ocw.mit.edu
ESD.77 / 16.888 Multidisciplinary System Design Optimization

Spring 2010
For information about citing these materials or our Terms of Use, visit: http://ocw.mit.edu/terms.

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Multidisciplinary System

Design Optimization (MSDO)

1 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

Sequential Linear Programming

2 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

3 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

For now, we consider a single objective function, J(x).

Perform 1-D search

5 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

In general, constrained optimization algorithms try to cast

6 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

e.g. the constraint

This is an LP problem with the design variables contained in x. The

10 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

2. Linearize about x0 using first-order Taylor series

3. Solve resulting LP to find x

5. Linearize about x1 and repeat:

where x is the solution of an LP (model linearized

11 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

Linearization approximation is only valid close

12 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

13 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

merit function = f(J(x), g(x), h(x))

examples: penalty function methods, barrier function methods

14 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

(x, rp ) J(x) rpP(x)

Penalty method approaches useful for incorporating

Effect of penalty function is to create a local minimum of

17 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

if all constraints are satisfied, then P(x)=0

g j (x) contains those inequality constraints that are

Q(x, p) is well-defined everywhere

Algorithm: -choose 0, set k=0

20 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

A (x, p ) J (x) p g j (x) hk (x)

where g j (x) contains those inequality constraints which

(x, )=x2+ |1-x| J(x)

22 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

rp = barrier parameter; starts as a large positive number

24 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

25 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

Combine features of interior/exterior methods

- is a small negative number, and marks transition from interior

Create a quadratic approximation to the Lagrangian

27 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

Design variables are the components of S

29 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

Widely used in engineering applications e.g. NLOpt

30 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

31 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

Practical Optimization, P.E. Gill, W. Murray and M.H.

Numerical Optimization Techniques for Engineering

Optimal Design in Multidisciplinary Systems, AIAA

NLOPT: Open-source library for nonlinear optimization

32 Massachusetts Institute of Technology - Prof. de Weck and Prof. Willcox

ESD.77 / 16.888 Multidisciplinary System Design Optimization

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