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Nonlinear Constraint Solver Algorithm

The genetic algorithm uses the Augmented Lagrangian Genetic Algorithm (ALGA) to solve nonlinear constraint problems without integer constraints. The optimization problem solved by the ALGA algorithm is

such that

where c(x) represents the nonlinear inequality constraints, ceq(x) represents the equality constraints, m is the number of nonlinear inequality constraints, and mt is the total number of nonlinear constraints.

The Augmented Lagrangian Genetic Algorithm (ALGA) attempts to solve a nonlinear optimization problem with nonlinear constraints, linear constraints, and bounds. In this approach, bounds and linear constraints are handled separately from nonlinear constraints. A subproblem is formulated by combining the fitness function and nonlinear constraint function using the Lagrangian and the penalty parameters. A sequence of such optimization problems are approximately minimized using the genetic algorithm such that the linear constraints and bounds are satisfied.

A subproblem formulation is defined as

where

  • The components λi of the vector λ are nonnegative and are known as Lagrange multiplier estimates

  • The elements si of the vector s are nonnegative shifts

  • ρ is the positive penalty parameter.

The algorithm begins by using an initial value for the penalty parameter (InitialPenalty).

The genetic algorithm minimizes a sequence of subproblems, each of which is an approximation of the original problem. Each subproblem has a fixed value of λ, s, and ρ. When the subproblem is minimized to a required accuracy and satisfies feasibility conditions, the Lagrangian estimates are updated. Otherwise, the penalty parameter is increased by a penalty factor (PenaltyFactor). This results in a new subproblem formulation and minimization problem. These steps are repeated until the stopping criteria are met.

Each subproblem solution represents one generation. The number of function evaluations per generation is therefore much higher when using nonlinear constraints than otherwise.

For a complete description of the algorithm, see the following references:

References

[1] Conn, A. R., N. I. M. Gould, and Ph. L. Toint. "A Globally Convergent Augmented Lagrangian Algorithm for Optimization with General Constraints and Simple Bounds," SIAM Journal on Numerical Analysis, Volume 28, Number 2, pages 545–572, 1991.

[2] Conn, A. R., N. I. M. Gould, and Ph. L. Toint. "A Globally Convergent Augmented Lagrangian Barrier Algorithm for Optimization with General Inequality Constraints and Simple Bounds," Mathematics of Computation, Volume 66, Number 217, pages 261–288, 1997.

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