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An Introduction to Optimization, 4th Edition by Stanislaw H. Zak, Edwin K. P. Chong

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CHAPTER 23

ALGORITHMS FOR CONSTRAINED OPTIMIZATION

23.1 Introduction

In Part II we discussed algorithms for solving unconstrained optimization problems. In this chapter we present some simple algorithms for solving special constrained optimization problems. The methods here build on those of Part II.

We begin our presentation in the next section with a discussion of projected methods, including a treatment of projected gradient methods for problems with linear equality constraints. We then consider Lagrangian methods. Finally, we consider penalty methods. This chapter is intended as an introduction to ideas underlying methods for solving constrained optimization problems. For an in-depth coverage of the subject, we refer the reader to [11].

23.2 Projections

The optimization algorithms considered in Part II have the general form

equation

where d(k) is typically a function of ∇f(x(k)). The value of x(k) is not constrained to lie inside any particular set. Such an algorithm is not immediately applicable to solving constrained optimization problems in which the decision variable is required to lie within a prespecified constraint set.

Consider the optimization problem

equation

If we use the algorithm above to solve this constrained problem, the iterates x(k) may not satisfy the constraints. Therefore, ...

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