Practical Optimization - Algorithms and Engineering Applications
EPeKg{w Q$,AQyBlqc by
\jA#RF.W NJ]AxFG Andreas Antoniou
RW"QUT Wu-Sheng Lu
Iu"7 Department of Electrical and Computer Engineering
vq?Le j University of Victoria, Canada
#BtJo: U]Y</>xGI
2007 Springer Science+Business Media, LLC
g{ () h;TN$ / Preface
b5i ehoA -sjyv/%_ The rapid advancements in the efficiency of digital computers and the evolution
EKu%I~eM of reliable software for numerical computation during the past three
)LC"rSNx% decades have led to an astonishing growth in the theory, methods, and algorithms
[G!#y of numerical optimization. This body of knowledge has, in turn, motivated
/=5:@ widespread applications of optimization methods in many disciplines,
lo!^h]iE ! e.g., engineering, business, and science, and led to problem solutions that were
^]rPda# considered intractable not too long ago.
+G:CR,Z>+ Although excellent books are available that treat the subject of optimization
}ejZk
bP with great mathematical rigor and precision, there appears to be a need for a
6_mkt|E= book that provides a practical treatment of the subject aimed at a broader audience
tKS'#y!R ranging from college students to scientists and industry professionals.
i?{)o]i This book has been written to address this need. It treats unconstrained and
F/%M`?m"ie constrained optimization in a unified manner and places special attention on the
a+mrsyM algorithmic aspects of optimization to enable readers to apply the various algorithms
oRkh>yj' and methods to specific problems of interest. To facilitate this process,
w?#s)z4}g the book provides many solved examples that illustrate the principles involved,
+ /+> : and includes, in addition, two chapters that deal exclusively with applications of
Cb}I-GtO unconstrained and constrained optimization methods to problems in the areas of
P;8nC:z L pattern recognition, control systems, robotics, communication systems, and the
ehTrjb3k design of digital filters. For each application, enough background information
a
gkw)# is provided to promote the understanding of the optimization algorithms used
2WO5Af% to obtain the desired solutions.
W kP`qD3 Chapter 1 gives a brief introduction to optimization and the general structure
j!c~%hP of optimization algorithms. Chapters 2 to 9 are concerned with unconstrained
L2\<iJA}c optimization methods. The basic principles of interest are introduced in Chapter
t;HM 2. These include the first-order and second-order necessary conditions for
+H{TV#+r a point to be a local minimizer, the second-order sufficient conditions, and the
LNNwy:_ ! optimization of convex functions. Chapter 3 deals with general properties of
LX'z7fh algorithms such as the concepts of descent function, global convergence, and
XXDLbT'J XVI
m&MAA^ I rate of convergence. Chapter 4 presents several methods for one-dimensional
ohU}ST:9 optimization, which are commonly referred to as line searches. The chapter
jouA
]E also deals with inexact line-search methods that have been found to increase
'`s+e#rs4{ the efficiency in many optimization algorithms. Chapter 5 presents several
G0%},Q/ basic gradient methods that include the steepest descent, Newton, and Gauss-
jK^Q5iD Newton methods. Chapter 6 presents a class of methods based on the concept of
>U\1*F,Om, conjugate directions such as the conjugate-gradient, Fletcher-Reeves, Powell,
hs^K9Jt and Partan methods. An important class of unconstrained optimization methods
]`eP"U{ known as quasi-Newton methods is presented in Chapter 7. Representative
WUBI(g\ methods of this class such as the Davidon-Fletcher-Powell and Broydon-
)kMF~S|H Fletcher-Goldfarb-Shanno methods and their properties are investigated. The
:+ZLKm chapter also includes a practical, efficient, and reliable quasi-Newton algorithm
0RZ[]:( that eliminates some problems associated with the basic quasi-Newton method.
iW%~>`tT Chapter 8 presents minimax methods that are used in many applications including
X+2uM+ the design of digital filters. Chapter 9 presents three case studies in
i(qZ#oN which several of the unconstrained optimization methods described in Chapters
gwGw 4 to 8 are applied to point pattern matching, inverse kinematics for robotic
UaCfXTG manipulators, and the design of digital filters.
&9Kni/ Chapters 10 to 16 are concerned with constrained optimization methods.
c-VIp A1 Chapter 10 introduces the fundamentals of constrained optimization. The concept
;_X2E~i[ of Lagrange multipliers, the first-order necessary conditions known as
zgNzdO/B Karush-Kuhn-Tucker conditions, and the duality principle of convex programming
sHqa(ynK are addressed in detail and are illustrated by many examples. Chapters
=;Q:z^S 11 and 12 are concerned with linear programming (LP) problems. The general
!jWE^@P/B properties of LP and the simplex method for standard LP problems are
3xIelTf* addressed in Chapter 11. Several interior-point methods including the primal
s$gR;su)g affine-scaling, primal Newton-barrier, and primal dual-path following methods
OLS/3c
z are presented in Chapter 12. Chapter 13 deals with quadratic and general
n }kn|To~ convex programming. The so-called active-set methods and several interiorpoint
?lca#@f( methods for convex quadratic programming are investigated. The chapter
LWdA3% also includes the so-called cutting plane and ellipsoid algorithms for general
\>$3'i=mQ convex programming problems. Chapter 14 presents two special classes of convex
2A=q{7s programming known as semidefinite and second-order cone programming,
;mT which have found interesting applications in a variety of disciplines. Chapter
v<3KxP'a 15 treats general constrained optimization problems that do not belong to the
+)xjw9b class of convex programming; special emphasis is placed on several sequential
=h\unQ1T quadratic programming methods that are enhanced through the use of efficient
a%nf
)-}| line searches and approximations of the Hessian matrix involved. Chapter 16,
'MgYSP< which concludes the book, examines several applications of constrained optimization
dtj+ avG for the design of digital filters, for the control of dynamic systems, for
Fy 1- >~ evaluating the force distribution in robotic systems, and in multiuser detection
@WCA7DW! for wireless communication systems.
zm!M'|~@7 PREFACE xvii
}]i.z:7+ The book also includes two appendices, A and B, which provide additional
4`e[gvh support material. Appendix A deals in some detail with the relevant parts of
FG!2h&k linear algebra to consolidate the understanding of the underlying mathematical
q6'Q-e) principles involved whereas Appendix B provides a concise treatment of the
nEt{ltsS0 basics of digital filters to enhance the understanding of the design algorithms
!8e;3W included in Chaps. 8, 9, and 16.
<k?pnBI_ The book can be used as a text for a sequence of two one-semester courses
-e4TqzRr on optimization. The first course comprising Chaps. 1 to 7, 9, and part of
vnN0o5 Chap. 10 may be offered to senior undergraduate or first-year graduate students.
:X}n[K The prerequisite knowledge is an undergraduate mathematics background of
[KL-T16 calculus and linear algebra. The material in Chaps. 8 and 10 to 16 may be
9Iu"DOxX% used as a text for an advanced graduate course on minimax and constrained
j- cp optimization. The prerequisite knowledge for thi^ course is the contents of the
.H@b zm first optimization course.
5,R4:y ?cK The book is supported by online solutions of the end-of-chapter problems
Cs4ks`Z18 under password as well as by a collection of MATLAB programs for free access
(kTu6t* by the readers of the book, which can be used to solve a variety of optimization
~^TH5n problems. These materials can be downloaded from the book's website:
0%<OwA2d http://www.ece.uvic.ca/~optimization/. 5) q_Aro We are grateful to many of our past students at the University of Victoria,
6H1;Hl
f in particular, Drs. M. L. R. de Campos, S. Netto, S. Nokleby, D. Peters, and
^c<8|lK L@ Mr. J. Wong who took our optimization courses and have helped improve the
)b?$
4<X^ manuscript in one way or another; to Chi-Tang Catherine Chang for typesetting
nIr:a|}[ the first draft of the manuscript and for producing most of the illustrations; to
+ 70x0z2 R. Nongpiur for checking a large part of the index; and to R Ramachandran
=Y- .=}jp; for proofreading the entire manuscript. We would also like to thank Professors
h+R26lI1x M. Ahmadi, C. Charalambous, P. S. R. Diniz, Z. Dong, T. Hinamoto, and P. P.
5OCt Q4u Vaidyanathan for useful discussions on optimization theory and practice; Tony
Xf#+^cQ Antoniou of Psicraft Studios for designing the book cover; the Natural Sciences
boq=@Qh and Engineering Research Council of Canada for supporting the research that
NDUH10Y:[ led to some of the new results described in Chapters 8, 9, and 16; and last but
l6*MiX]q not least the University of Victoria for supporting the writing of this book over
uH&B=w anumber of years.
mBeP"G S Andreas Antoniou and Wu-Sheng Lu