- Research
- Open Access
Inner approximation algorithm for generalized linear multiplicative programming problems
- Yingfeng Zhao^{1}Email authorView ORCID ID profile and
- Juanjuan Yang^{1}
https://doi.org/10.1186/s13660-018-1947-9
Β© The Author(s) 2018
- Received: 7 July 2018
- Accepted: 13 December 2018
- Published: 20 December 2018
Abstract
An efficient inner approximation algorithm is presented for solving the generalized linear multiplicative programming problem with generalized linear multiplicative constraints. The problem is firstly converted into an equivalent generalized geometric programming problem, then some magnifying-shrinking skills and approximation strategies are used to convert the equivalent generalized geometric programming problem into a series of posynomial geometric programming problems that can be solved globally. Finally, we prove the convergence property and some practical application examples in optimal design domain, and arithmetic examples taken from recent literatures and GLOBALLib are carried out to validate the performance of the proposed algorithm.
Keywords
- Generalized multiplicative programming
- Inner approximation algorithm
- Geometric programming
1 Introduction
Algorithms for solving the special form of problem (GLMP) emerged endlessly. They are mainly classified as primal-based algorithms that directly solve the primal problem, dual-based algorithms that solve the dual problem, and adapted general nonlinear programming methods [13β15]. Recently, many works aimed at globally solving special forms of (GLMP) are presented, for example, global algorithms for signomial geometric programming problems, branch and bound algorithms for multiplicative programming with linear constraints, branch and reduction methods for quadratic programming problems, and sum of ratios problems are all in this category [16β21]. Despite these various contributions to their special forms, however, optimization algorithms for solving the general case of (GLMP) are still scarce. As far as we know, only [9] consider this general case, but only for (GLMP) with geometric constraints.
In this paper, we present an inner approximation algorithm for solving generalized linear multiplicative programming problem described as (GLMP). The (GLMP) is first converted into a generalized geometric programming problem, then the inner approximation algorithm relying on arithmetic-geometric mean inequality and magnifying-shrinking techniques is established. The algorithm works by solving a series of posynomial geometric programming problems. This strategy can be realized owing to the fact that recently developed solution methods can solve even large-scale posynomial geometric programming problems extremely efficiently and reliably [22]. The convergence property is proved and some examples taken from practical applications and recent literatures are performed to verify the efficiency of the presented algorithm. The experimental results show that the presented algorithm has a better capability to solve the (GLMP).
The remainder of this paper is organized in the following way. In Sect. 2, the equivalent generalized geometric programming problem is established and the inner approximation algorithm for solving (GLMP) is designed by utilizing arithmetic-geometric mean inequality and condensation techniques. The convergence property and error analysis of the algorithm are discussed in Sect. 3. Section 4 computationally investigates the performance of the inner approximation algorithm by solving some selective test examples. Some concluding remarks are proposed in the last section.
2 Equivalent problem and algorithm development
In this section, the original problem (GLMP) is first transformed into an equivalent generalized geometric programming problem (EGGP) through variable substitution. And for convenience, problem (EGGP) will be further converted into generalized geometric programming with standard form described as formulation (Q). Then our focus will be shifted to solving the equivalent problem (Q). By utilizing the arithmetic-geometric mean inequality and condense techniques based on first order Taylor expansion, we can construct a posynomial geometric programming auxiliary problem (AQ) of the reformulated problem (Q) at each iterative point. Based on this, the proposed algorithm will be developed. The proposed algorithm works by solving a sequence of posynomial geometric programming problems.
2.1 Equivalent problem
Theorem 1
\(y^{*}\) is an optimal solution for the (GLMP) if and only if \((y^{*} ,z^{*})\) is an optimal solution of (EP), where \(z^{*}_{ijt}=f_{ijt}(y^{*})\), \(i=0,1,\ldots,M\), \(j=1,2,\ldots,p_{i}\), \(t=1,2,\ldots,T_{ip_{j}}\).
Proof
This theorem is quite easy to verify from the constructing process of problem (EP), thus the proof is omitted here.ββ‘
2.2 Implementable algorithm
In this part, we concentrate on how to design the inner approximation algorithm for solving the (EGGP). For this, we will perform some transformation and condensation strategies so that problem (EGGP) can be converted into a series of posynomial geometric programming problems which can be easily solved by using computer tools (such as CVX, GPLab).
- Step 1.
(Initialization) Reformulate the initial problem as the equivalent form described in problem (Q), then choose a feasible point \(x^{(0)}\) and \(x_{0}^{(0)}\) (if necessary) as the starting point, give out the solution accuracy \(\vartheta \ge 0\), and set iteration counter \(k:=0\).
- Step 2.
(Inner approximation) At the \(k_{th}\) iteration, replace each constraint with its inner approximation by computing the value of \(\lambda _{i}(y)\) at \((x_{0}^{(k-1)},x^{(k-1)})\), if necessary.
- Step 3.
(Posynomial condensation) Construct the auxiliary problem (AQ) and solve it to obtain \((x_{0}^{(k)},x^{(k)})\).
- Step 4.
(Termination) If \(\Vert x_{0}^{k}-x_{0}^{k-1} \Vert \le \vartheta \), then the algorithm can be terminated. Otherwise, set \(k:=k+1\) and return to Step 2.
Remark 1
When performing the algorithm described above, one should choose a feasible interior point as the starting point. However, in the practical implementation, we often select an arbitrary point as the starting point when it is difficult to find a feasible interior point for some large-scale (GLMP) problems. This is mainly because the tool (GGPLab) we used for solving (AQ) can quickly produce a feasible interior point of problem (Q) [22].
3 Convergence property analysis
In this section, we will briefly take into account the convergence properties of the above algorithm and evaluate the errors in objective and constraint functions produced by monomial approximation.
Theorem 2
The proposed algorithm either terminates within finite iterations with an KKT point for problem (GLMP) to be found, or the limit of any convergent sequence is a KKT point of the (GLMP).
Proof
Remark 2
Although the above algorithm can only obtain a KKT point for problem (Q), according to the special structure of the objective function of problem (Q) and the distinctive characteristics described in [23], we find that the KKT point found by the proposed algorithm is always a global optimal solution for problem (Q).
Remark 3
4 Computational experiments
To test the proposed algorithm in terms of efficiency and solution quality, we performed some computational examples on a personal computer with Intel Xeon(R) CPU 2.40 Ghz and 4 GB memory. The code base is written in matlab 2014a and interfaces GGPLab for the standard geometric programming problems.
We consider some instances of problem (MIQQP) from some recent literature [9, 24β27] and MINLPLib [28]. Among them, Examples 1, 3, and 4 are three practical applications of (GLMP). Examples 2, 5, 6, 7, 8, and 9 are taken from recent literature for comparison analysis. Example 10 is an example for testing the influence of the numerical experiments for different initial points. Examples 11β13 are three examples from GLOBALLib [29], a collection of nonlinear programming models. The last example is a generalized linear multiplicative programming problem with randomized objective and constraint functions.
Example 1
(see [24])
This special instance of (GLMP) is first proposed to deal with the optimal design of heat exchanger networks [30]. When performing the algorithm for solving this instance, we choose \((500, 500, 4200, 500, 400, 340, 300, 600)\) as the starting point, the termination error was set to be \(\vartheta =1\times 10^{-6}\). The proposed algorithm terminates after 3.74 seconds (CPU time) with solution \((579.326059, 1359.9445, 5109.977472, 182.019317, 295.600901, 217.980682, 286.418416, 395.600901)\) and optimal value 6944.248031 to be found, and the number of iterations is 21. While the method of Tsai and Lin [24] takes nearly one hour and forty minutes for solving this example, and they obtain a solution \((578.973143, 1359.572730, 5110.701048, 181.9898, 295.5719,218.0101, 286.4179, 395.5719)\) with the optimal value 7049.24682.
Example 2
(see [9])
In this example, both the objective function and the constraint function are generalized linear multiplicative functions. This example is taken from Jiao, Liu, and Zhao [9]. For solving this problem with the branch and bound algorithm, quite a lot of CPU times need to be consumed; however, we only expend less than two seconds for solving it to global optimality. In the iteration process, we select \((1.5,1.5)\) as the starting point, the termination error was also set to be \(\vartheta =1\times 10^{-6}\).
Example 3
(see [25])
This example is a signomial geometric programming problem (special case of (GLMP)) which is used to optimize the design of a membrane separation process [25]. Lin and Tsai solved it with a range reduction method and obtained an optimal solution with optimal value β83.249728. For obtaining this solution, the range reduction method spend about 22 second (CPU time). Here, our algorithm terminated after 11 iterations and obtained the optimal solution \((87.614446,8.754375,1.413643,19.311410)\) with optimal value β85.68859, the algorithm implementation took about 0.942 seconds. In the algorithm implementation, we choose the initial upper bound \((100,100,100)\) as the starting point, the termination error was set to be \(\vartheta =1\times 10^{-6}\).
Example 4
(see [24])
This example is a mathematical model born from optimal design of a reactor. For solving it, we select \((7,7,7,7,7,7,7,7)\) as the starting point, the termination error was set to be \(\vartheta =1\times 10^{-6}\). The proposed algorithm terminates after 7.123 seconds (CPU time) with solution \((6.350802, 2.365111, 0.670723, 0.597563, 5.951950, 5.537204,1.042703,0.415594)\) and optimal value 3.908619 to be found, and the number of iterations is 44. While Tsai and Lin [24] spent nearly 56 minutes and 312 seconds for solving this example and obtained a solution \((6.473164, 2.238234, 0.664955, 0.591012, 5.930263,5.523595,1.011611,0.397171)\) with the optimal value 3.95109.
Example 5
(see [9])
Example 6
(see [9])
Example 7
(see [27])
Example 8
(see [26])
Example 9
Example 10
Example 11
(st-qpk1)
Example 12
(ex8-1-7)
Example 13
(ex4-1-9)
Example 14
(Small random test)
Example | Start point | Iterations | Error in objective | Error constraint |
---|---|---|---|---|
(500,500,4200,500,400,340,300,600) | 21 | 0 | 2.2204βΓβ10^{β16} | |
(1.5,1.5) | 5 | 0 | 8.8818βΓβ10^{β16} | |
(100,100,100) | 11 | 2.5070βΓβ10^{β16} | 0 | |
(7,7,7,7,7,7,7,7) | 44 | 0 | 0 | |
(3,400) | 15 | 0 | 0 | |
(0.7,0.7,0.7,0.7) | 8 | 0 | 0 | |
(100,40,30,30,30) | 5 | 0 | 2.2204βΓβ10^{β16} | |
(1.5,1) | 4 | 9.0949βΓβ10^{β13} | 0 | |
(2,1.5) | 6 | 3.5527βΓβ10^{β15} | 7.1054βΓβ10^{β15} |
Example | Methods | Optimal value | Optimal solution | CPU time |
---|---|---|---|---|
[9] | 11.9541 | (11.9604,0.8105,442.344) | 0.416 | |
Ours | 11.3497 | (11.9604,0.681143,436.918047) | 0.13252 | |
[9] | β5.7416 | (8.1244,0.6027,0.5660,5.6352) | 42.3259 | |
Ours | β9.2952 | (9.6867,0.5585,0.1000,5.3252) | 0.8273 | |
[27] | 10,127.13 | (78,32.999,29.995,45,36.7753) | 1 | |
Ours | 10,122.49325 | (78,33,29.9957,45,36.775327) | 0.331298 | |
[26] | β15.0 | (2,1) | 120.580 | |
Ours | β15.0 | (2,1) | 0.3556 | |
[9] | 1.177081 | (1.77091,2.17715) | 0.2260 | |
[27] | 1.1771243 | (1.17712,2.17712) | 0.26069 | |
Ours | 1.177124 | (1.177124,2.177124) | 0.18726 |
Computational results of random Example 14
Dimension | Iterations | CPU time | Error in objective | Error in constraint |
---|---|---|---|---|
nβ=β5 | 23 | 9.082938 | 0 | 4.4409βΓβ10^{β16} |
nβ=β10 | 20 | 14.92016 | 3.5527βΓβ10^{β15} | 2.6645βΓβ10^{β15} |
nβ=β20 | 17 | 36.85216 | 0 | 6.2172βΓβ10^{β15} |
nβ=β30 | 53 | 239.0432 | 3.5527βΓβ10^{β15} | 5.3291βΓβ10^{β15} |
nβ=β50 | 25 | 257.7263 | 0.7698βΓβ10^{β15} | 1.5395βΓβ10^{β14} |
nβ=β70 | 35 | 740.6696 | 8.8818βΓβ10^{β16} | 3.5527βΓβ10^{β15} |
nβ=β80 | 56 | 1583.152 | 1.7764βΓβ10^{β15} | 1.7764βΓβ10^{β15} |
nβ=β100 | 69 | 2043.238 | 0 | 3.1086βΓβ10^{β15} |
5 Concluding remarks
In this paper, an inner approximation algorithm is presented for solving the generalized linear multiplicative programming problem. Local convergence property is proved and some numerical examples taken from application domain and recent literature are performed to verify the efficiency of the algorithm and quality of the solutions obtained. Results of the numerical tests show that this algorithm can effectively solve most generalized linear multiplicative problems to global optimality although it just has local convergence property.
Declarations
Acknowledgements
Thanks for all the referenced authors.
Funding
This paper is supported by the Science and Technology Key Project of Education Department of Henan Province (14A110024).
Authorsβ contributions
Both authors contributed equally to the manuscript, and they read and approved the final manuscript.
Competing interests
The authors declare that there is no conflict of interest regarding the publication of this paper.
Open Access This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
Authorsβ Affiliations
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