Nonlinear Optimization Examples

The following 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 and Schittkowski (1981). The problem describes a time-optimal heating process minimizing the simple objective function

subjected to a rather difficult inequality constraint:

where is defined as

The gradient of the objective function f, , 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 depends only on and is computed only once, before the optimization starts, as follows:

   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 . For details about the QUAD call, see the section QUAD Call. Here is the code:

  /* This is the integrand used in h(x) */
   start fquad(s) global(mu,rho);
      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);
      call quad(z,"fquad",aint) eps=1.e-10;
      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. The ABSGTOL termination criterion (maximum absolute value of the gradient of the Lagrange function) is set by tcE–4. Here is the code:

   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 14.8.1.

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, .