Practical Optimization - Algorithms and Engineering Applications
WUsKnf 371
TvZ4 by
8peDI7[| _oUHJ~&, Andreas Antoniou
\DD0s8 Wu-Sheng Lu
(Yis:%c\! Department of Electrical and Computer Engineering
AbYqf%~7`l University of Victoria, Canada
Oms. e .On|uC)! 2007 Springer Science+Business Media, LLC
8_6Q~ t{WzKy Preface
~tR~?b T O2BDL1o The rapid advancements in the efficiency of digital computers and the evolution
pD01,5/ of reliable software for numerical computation during the past three
LM-J !44 decades have led to an astonishing growth in the theory, methods, and algorithms
FZtfh of numerical optimization. This body of knowledge has, in turn, motivated
hijgF@ widespread applications of optimization methods in many disciplines,
km1~yQ"bH e.g., engineering, business, and science, and led to problem solutions that were
v>-VlQ considered intractable not too long ago.
Y5FbU Although excellent books are available that treat the subject of optimization
dnb)/ with great mathematical rigor and precision, there appears to be a need for a
qh2ON>e; book that provides a practical treatment of the subject aimed at a broader audience
S&\L-@ ranging from college students to scientists and industry professionals.
\u>"s This book has been written to address this need. It treats unconstrained and
.b-f9qc= constrained optimization in a unified manner and places special attention on the
T<w5vqFDu algorithmic aspects of optimization to enable readers to apply the various algorithms
K/3)g9Z&io and methods to specific problems of interest. To facilitate this process,
qAS qscO the book provides many solved examples that illustrate the principles involved,
3T}izG] and includes, in addition, two chapters that deal exclusively with applications of
yz LpK; unconstrained and constrained optimization methods to problems in the areas of
],JEBt pattern recognition, control systems, robotics, communication systems, and the
JMz;BAHT design of digital filters. For each application, enough background information
XoCC/ is provided to promote the understanding of the optimization algorithms used
7e#?e+5+A to obtain the desired solutions.
!/3B3cG Chapter 1 gives a brief introduction to optimization and the general structure
yA.4G_|I of optimization algorithms. Chapters 2 to 9 are concerned with unconstrained
!cAyTl(_ optimization methods. The basic principles of interest are introduced in Chapter
T|dY
2 2. These include the first-order and second-order necessary conditions for
\&i P`v`K a point to be a local minimizer, the second-order sufficient conditions, and the
- qy6Un+ optimization of convex functions. Chapter 3 deals with general properties of
D0#x
Lh algorithms such as the concepts of descent function, global convergence, and
c(n&A~*AJ% XVI
PUBWZ^63 rate of convergence. Chapter 4 presents several methods for one-dimensional
isZA oYVu optimization, which are commonly referred to as line searches. The chapter
-!N&OZ+R
also deals with inexact line-search methods that have been found to increase
v(-{=*': the efficiency in many optimization algorithms. Chapter 5 presents several
0Emr<n basic gradient methods that include the steepest descent, Newton, and Gauss-
NCk r /#! Newton methods. Chapter 6 presents a class of methods based on the concept of
ulkJR-""& conjugate directions such as the conjugate-gradient, Fletcher-Reeves, Powell,
U]vYV and Partan methods. An important class of unconstrained optimization methods
/U"CO 8Da known as quasi-Newton methods is presented in Chapter 7. Representative
z3K6%rb- methods of this class such as the Davidon-Fletcher-Powell and Broydon-
eL\;Nf+Zp Fletcher-Goldfarb-Shanno methods and their properties are investigated. The
r.>].~}4 chapter also includes a practical, efficient, and reliable quasi-Newton algorithm
>ey\jDr#O that eliminates some problems associated with the basic quasi-Newton method.
TT4./R: Chapter 8 presents minimax methods that are used in many applications including
43Qtj$F the design of digital filters. Chapter 9 presents three case studies in
'b#0t#|TM which several of the unconstrained optimization methods described in Chapters
WeQk<y 4 to 8 are applied to point pattern matching, inverse kinematics for robotic
I9mvte manipulators, and the design of digital filters.
( 2n>A D_ Chapters 10 to 16 are concerned with constrained optimization methods.
sh`s/JRf Chapter 10 introduces the fundamentals of constrained optimization. The concept
75T7+:p of Lagrange multipliers, the first-order necessary conditions known as
cnFI
&,FM Karush-Kuhn-Tucker conditions, and the duality principle of convex programming
X'`~s}vGO are addressed in detail and are illustrated by many examples. Chapters
\e'R@ 11 and 12 are concerned with linear programming (LP) problems. The general
0VGPEKRh properties of LP and the simplex method for standard LP problems are
3`ELKq addressed in Chapter 11. Several interior-point methods including the primal
{jho&Ai affine-scaling, primal Newton-barrier, and primal dual-path following methods
v{jQek4 are presented in Chapter 12. Chapter 13 deals with quadratic and general
kMOpi =Z1 convex programming. The so-called active-set methods and several interiorpoint
t$xY #: methods for convex quadratic programming are investigated. The chapter
&xY^OCt also includes the so-called cutting plane and ellipsoid algorithms for general
v%s`~~u%^ convex programming problems. Chapter 14 presents two special classes of convex
0\@dYPa&C programming known as semidefinite and second-order cone programming,
(''M{n which have found interesting applications in a variety of disciplines. Chapter
, 'ZD=4_ 15 treats general constrained optimization problems that do not belong to the
weE/TW\e class of convex programming; special emphasis is placed on several sequential
LjUy*mxw quadratic programming methods that are enhanced through the use of efficient
<Gt2(; line searches and approximations of the Hessian matrix involved. Chapter 16,
Ar:*oiU which concludes the book, examines several applications of constrained optimization
mysetv&5 for the design of digital filters, for the control of dynamic systems, for
OZTPOz. evaluating the force distribution in robotic systems, and in multiuser detection
{6c2{@ for wireless communication systems.
x-AZ%)N9 PREFACE xvii
r!HwXeEn/ The book also includes two appendices, A and B, which provide additional
/~Z?27F6@ support material. Appendix A deals in some detail with the relevant parts of
JoN\]JL\, linear algebra to consolidate the understanding of the underlying mathematical
LK, bO| principles involved whereas Appendix B provides a concise treatment of the
3`B6w$z>( basics of digital filters to enhance the understanding of the design algorithms
Pp`*]Ib included in Chaps. 8, 9, and 16.
n ;$5Cq!v= The book can be used as a text for a sequence of two one-semester courses
.$%Soyr?, on optimization. The first course comprising Chaps. 1 to 7, 9, and part of
?kZTI ( Chap. 10 may be offered to senior undergraduate or first-year graduate students.
4)"n
RjGg The prerequisite knowledge is an undergraduate mathematics background of
{FIXc^m' calculus and linear algebra. The material in Chaps. 8 and 10 to 16 may be
}f8Uc+ used as a text for an advanced graduate course on minimax and constrained
%d>=+Ds[ optimization. The prerequisite knowledge for thi^ course is the contents of the
u#V5?i first optimization course.
a(9L,v#? The book is supported by online solutions of the end-of-chapter problems
7_mw%|m6@ under password as well as by a collection of MATLAB programs for free access
A%D7bQ by the readers of the book, which can be used to solve a variety of optimization
=RAh|e problems. These materials can be downloaded from the book's website:
b r^_'1 http://www.ece.uvic.ca/~optimization/. ALNc'MW! We are grateful to many of our past students at the University of Victoria,
V {pj~D.E in particular, Drs. M. L. R. de Campos, S. Netto, S. Nokleby, D. Peters, and
sM?MLB\Za Mr. J. Wong who took our optimization courses and have helped improve the
lI-L`
x manuscript in one way or another; to Chi-Tang Catherine Chang for typesetting
%T)oCjM[\ the first draft of the manuscript and for producing most of the illustrations; to
M5*{ R. Nongpiur for checking a large part of the index; and to R Ramachandran
kWe{r5C7 for proofreading the entire manuscript. We would also like to thank Professors
I{lT> go M. Ahmadi, C. Charalambous, P. S. R. Diniz, Z. Dong, T. Hinamoto, and P. P.
u\LFlX0sO Vaidyanathan for useful discussions on optimization theory and practice; Tony
#L{OV)a< Antoniou of Psicraft Studios for designing the book cover; the Natural Sciences
]"1`+q6i and Engineering Research Council of Canada for supporting the research that
t0nI ('LX, led to some of the new results described in Chapters 8, 9, and 16; and last but
I-WhH>9 not least the University of Victoria for supporting the writing of this book over
NyVnA anumber of years.
0em#-*|2" Andreas Antoniou and Wu-Sheng Lu