Advertisement

Mathematical Programming

, Volume 120, Issue 2, pp 289–311 | Cite as

Dynamic bundle methods

  • Alexandre Belloni
  • Claudia SagastizábalEmail author
FULL LENGTH PAPER

Abstract

Lagrangian relaxation is a popular technique to solve difficult optimization problems. However, the applicability of this technique depends on having a relatively low number of hard constraints to dualize. When there are many hard constraints, it may be preferable to relax them dynamically, according to some rule depending on which multipliers are active. From the dual point of view, this approach yields multipliers with varying dimensions and a dual objective function that changes along iterations. We discuss how to apply a bundle methodology to solve this kind of dual problems. Our framework covers many separation procedures to generate inequalities that can be found in the literature, including (but not limited to) the most violated inequality. We analyze the resulting dynamic bundle method giving a positive answer for its primal-dual convergence properties, and, under suitable conditions, show finite termination for polyhedral problems.

Mathematics Subject Classification (2000)

90C25 65K05 90C27 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. 1.
    Auslender, A.: How to deal with the unbounded in optimization: Theory and algorithms. Math. Program. 79, 3–18 (1997)MathSciNetGoogle Scholar
  2. 2.
    Barahona, F., Anbil, R.: The volume algorithm: producing primal solutions with a subgradient method. Math. Program. 87(3, Ser. A), 385–399 (2000)zbMATHCrossRefMathSciNetGoogle Scholar
  3. 3.
    Balas, E., Christofides, N.: A restricted Lagrangian approach to the traveling salesman problem. Math. Program. 21(1), 19–46 (1981)zbMATHCrossRefMathSciNetGoogle Scholar
  4. 4.
    Babonneau, F., du Merle, O., Vial, J.-P.: Solving large scale linear multicommodity flow problems with an active set strategy and Proximal-ACCPM. Oper. Res. 54(1), 184–197 (2006)CrossRefMathSciNetGoogle Scholar
  5. 5.
    Beasley, J.E.: A Lagrangian heuristic for set-covering problems. Naval Res. Logist. 37(1), 151–164 (1990)zbMATHCrossRefMathSciNetGoogle Scholar
  6. 6.
    Bonnans, J.F., Gilbert, J.Ch., Lemaréchal, C., Sagastizábal, C.: Numerical Optimization. Theoretical and Practical Aspects, 2nd edn, p. xiv+490. Universitext. Springer, Berlin (2006)Google Scholar
  7. 7.
    Belloni, A., Lucena, A.: Improving on the help and karp bound for the STSP via Lagrangian relaxation. Working paper (2002)Google Scholar
  8. 8.
    Bahiense, L., Maculan, N., Sagastizábal, C.: The volume algorithm revisited. Relation with bundle methods. Math. Program. Ser. A 94(1), 41–69 (2002)zbMATHCrossRefGoogle Scholar
  9. 9.
    Belloni, A., Sagastizábal, C.: Numerical assessment of dynamic dual methods (In preparation)Google Scholar
  10. 10.
    Christofides, N., Beasley, J.E.: Extensions to a lagrangean relaxation approach for the capacitated warehouse location problem. Eur. J. Oper. Res. 12(1), 19–28 (1983)zbMATHCrossRefMathSciNetGoogle Scholar
  11. 11.
    Cheney, E., Goldstein, A.: Newton’s method for convex programming and Tchebycheff approximations. Numer. Math. 1, 253–268 (1959)zbMATHCrossRefMathSciNetGoogle Scholar
  12. 12.
    Escudero, L.F., Guignard, M., Malik, K.: A Lagrangian relax-and-cut approach for the sequential ordering problem with precedence relationships. Ann. Oper. Res. 50, 219–237 (1994)zbMATHCrossRefMathSciNetGoogle Scholar
  13. 13.
    Ermol′ev, Ju.M.: Method for solving nonlinear extremal problems. Kibernetika (Kiev) 2(4), 1–17 (1966)MathSciNetGoogle Scholar
  14. 14.
    Frangioni, A., Gallo, G.: A bundle type dual-ascent approach to linear multicommodity min cost flow problems. INFORMS J. Comput. 11(4), 370–393 (1999)zbMATHCrossRefMathSciNetGoogle Scholar
  15. 15.
    Fischer, I., Gruber, G., Rendl, F., Sotirov, R.: Computational experience with a bundle approach for semidefinite cutting plane relaxations of max-cut and equipartition. Math. Program. 105(2–3, Ser. B), 451–469 (2006)zbMATHCrossRefMathSciNetGoogle Scholar
  16. 16.
    Frangioni, A., Lodi, A., Rinaldi, G.: New approaches for optimizing over the semimetric polytope. Math. Program. 104(2–3, Ser. B), 375–388 (2006)MathSciNetGoogle Scholar
  17. 17.
    Frangioni, A.: Generalized bundle methods. SIAM J. Optim. 13(1), 117–156 (2002)zbMATHCrossRefMathSciNetGoogle Scholar
  18. 18.
    Gavish, B.: Augmented Lagrangian based algorithms for centralized network design. IEEE Trans. Commun. 33, 1247–1257 (1985)CrossRefMathSciNetGoogle Scholar
  19. 19.
    Grötschel, M., Jünger, M., Reinelt, G.: A cutting plane algorithm for the linear ordering problem. Oper. Res. 32(6), 1195–1220 (1984)zbMATHCrossRefMathSciNetGoogle Scholar
  20. 20.
    Helmberg, C.: A cutting plane algorithm for large scale semidefinite relaxations. The sharpest cut, pp. 233–256, MPS/SIAM Ser. Optim., SIAM, Philadelphia (2004)Google Scholar
  21. 21.
    Hunting, M., Faigle, U., Kern, W.: A Lagrangian relaxation approach to the edge-weighted clique problem. Eur. J. Oper. Res. 131(1), 119–131 (2001)zbMATHCrossRefMathSciNetGoogle Scholar
  22. 22.
    Helmberg, C., Kiwiel, K.C.: A spectral bundle method with bounds. Math. Program. 23(2, Ser. A), 173–194 (2002)CrossRefMathSciNetGoogle Scholar
  23. 23.
    Hiriart-Urruty, J.-B., Lemaréchal, C.: Convex Analysis and Minimization Algorithms. Number 305-306 in Grund. der math. Wiss. Springer, Heidelberg (1993) (two volumes)Google Scholar
  24. 24.
    Held, M., Wolfe, Ph., Crowder, H.P.: Validation of subgradient optimization. Math. Program. 6, 62–88 (1974)zbMATHCrossRefMathSciNetGoogle Scholar
  25. 25.
    Kelley, J.E.: The cutting plane method for solving convex programs. J. Soc. Indust. Appl. Math. 8, 703–712 (1960)CrossRefMathSciNetGoogle Scholar
  26. 26.
    Kiwiel, K.C.: Methods of Descent for Non-Differentiable Optimization. Springer, Berlin (1985)Google Scholar
  27. 27.
    Kiwiel, K.C.: Exact penalty functions in proximal bundle methods for constrained convex nondifferentiable minimization. Math. Program. 52(2, Ser. B), 285–302 (1991)zbMATHCrossRefMathSciNetGoogle Scholar
  28. 28.
    Kiwiel, K.C.: Approximations in proximal bundle methods and decomposition of convex programs. J. Optim. Theory Appl. 84, 529–548 (1995)zbMATHCrossRefMathSciNetGoogle Scholar
  29. 29.
    Kiwiel, K.C.: A proximal bundle method with approximate subgradient linearizations. SIAM J. Optim. 16, 1007–1023 (2006)zbMATHCrossRefMathSciNetGoogle Scholar
  30. 30.
    Lucena, A., Beasley, J.E.: Branch and cut algorithms. In: Advances in Linear and Integer Programming, Oxford Lecture Ser. Math. Appl., vol.4, pp. 187–221. Oxford University Press, New York (1996)Google Scholar
  31. 31.
    Lemaréchal, C., Nemirovskii, A., Nesterov, Yu.: New variants of bundle methods. Math. Program. 69, 111–148 (1995)CrossRefGoogle Scholar
  32. 32.
    Lucena, A.: Steiner problem in graphs: Lagrangean relaxation and cutting-planes. COAL Bull. 21(2), 2–8 (1992)Google Scholar
  33. 33.
    Lukšan, L., Vlček, J.: A bundle-Newton method for nonsmooth unconstrained minimization. Math. Program. 83(3, Ser. A), 373–391 (1998)zbMATHCrossRefGoogle Scholar
  34. 34.
    Lukšan, L., Vlček, J.: Globally convergent variable metric method for convex nonsmooth unconstrained minimization. J. Optim. Theory Appl. 102(3), 593–613 (1999)zbMATHCrossRefMathSciNetGoogle Scholar
  35. 35.
    Lukšan, L., Vlček, J.: NDA: Algorithms for nondifferentiable optimization. Technical report, Institute of Computer Science, Academy of Sciences of the Czech Republic (2000)Google Scholar
  36. 36.
    Ruszczynski, A., Shapiro, A. (eds.): Stochastic Programming. In: Handbooks in Operations Research and Management Science, vol.10. Elsevier Science, Amsterdam (2003)Google Scholar
  37. 37.
    Rendl, F., Sotirov, R.: Bounds for the quadratic assignment problem using the bundle method. Math. Program. 109(2/3, Ser.B), 505–524 (2007)zbMATHCrossRefMathSciNetGoogle Scholar
  38. 38.
    Shor, N.: Minimization Methods for Non-Differentiable Functions. Springer, Berlin (1985)zbMATHGoogle Scholar
  39. 39.
    Solodov, M.V.: On approximations with finite precision in bundle methods for nonsmooth optimization. J. Optim. Theory Appl. 119, 151–165 (2003)zbMATHCrossRefMathSciNetGoogle Scholar
  40. 40.
    Schramm, H., Zowe, J.: A version of the bundle idea for minimizing a nonsmooth function: conceptual idea, convergence analysis, numerical results. SIAM J. Optim. 2(1), 121–152 (1992)zbMATHCrossRefMathSciNetGoogle Scholar

Copyright information

© Springer-Verlag 2008

Authors and Affiliations

  1. 1.Fuqua School of BusinessDuke UniversityDurhamUSA
  2. 2.CEPELElectric Energy Research CenterRio de JaneiroBrazil
  3. 3.IMPARio de JaneiroBrazil

Personalised recommendations