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Modified augmented Lagrangian coordination and alternating direction method of multipliers with parallelization in non-hierarchical analytical target cascading

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Abstract

Analytical Target Cascading (ATC) is a decomposition-based optimization methodology that partitions a system into subsystems and then coordinates targets and responses among subsystems. Augmented Lagrangian with Alternating Direction method of multipliers (AL-AD), one of efficient ATC coordination methods, has been widely used in both hierarchical and non-hierarchical ATC and theoretically guarantees convergence under the assumption that all subsystem problems are convex and continuous. One of the main advantages of distributed coordination which consists of several non-hierarchical subproblems is that it can solve subsystem problems in parallel and thus reduce computational time. Therefore, previous studies have proposed an augmented Lagrangian coordination strategy for parallelization by eliminating interactions among subproblems. The parallelization is achieved by introducing a master problem and support variables or by approximating a quadratic penalty function to make subproblems separable. However, conventional AL-AD does not guarantee convergence in the case of parallel solving. Our study shows that, in parallel solving using targets and responses of the current iteration, conventional AL-AD causes mismatch of information in updating the Lagrange multiplier. Therefore, the Lagrange multiplier may not reach the optimal point, and as a result, increasing penalty weight causes numerical difficulty in the augmented Lagrangian coordination approach. To solve this problem, we propose a modified AL-AD with parallelization in non-hierarchical ATC. The proposed algorithm uses the subgradient method with adaptive step size in updating the Lagrange multiplier and also maintains penalty weight at an appropriate level not to cause oscillation. Without approximation or introduction of an artificial master problem, the modified AL-AD with parallelization can achieve similar accuracy and convergence with much less computational cost compared with conventional AL-AD with sequential solving.

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Acknowledgements

This work was partially supported by the Altair University Fellowship at Altair Engineering and the National Research Foundation of Korea (NRF) grant funded by the Korea government (N01170150). This support is gratefully acknowledged.

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Correspondence to Ikjin Lee.

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Jung, Y., Kang, N. & Lee, I. Modified augmented Lagrangian coordination and alternating direction method of multipliers with parallelization in non-hierarchical analytical target cascading. Struct Multidisc Optim 58, 555–573 (2018). https://doi.org/10.1007/s00158-018-1907-5

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  • DOI: https://doi.org/10.1007/s00158-018-1907-5

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