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Dual Residual for Distributed Augmented Lagrangian Coordination Based on Optimality Conditions

[+] Author Affiliations
Meng Xu, Georges Fadel, Margaret M. Wiecek

Clemson University, Clemson, SC

Paper No. DETC2015-47002, pp. V02BT03A034; 11 pages
doi:10.1115/DETC2015-47002
From:
  • ASME 2015 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference
  • Volume 2B: 41st Design Automation Conference
  • Boston, Massachusetts, USA, August 2–5, 2015
  • Conference Sponsors: Design Engineering Division, Computers and Information in Engineering Division
  • ISBN: 978-0-7918-5708-3
  • Copyright © 2015 by ASME

abstract

Augmented Lagrangian Coordination (ALC) is one of the more popular coordination strategies for decomposition based optimization. It employs the augmented Lagrangian relaxation approach and has shown great improvements in terms of efficiency and solution accuracy when compared to other methods addressing the same type of problem. Additionally, by offering two variants: the centralized ALC in which an artificial master problem in the upper level is created to coordinate all the sub-problems in the lower level, and the distributed ALC in which coordination can be performed directly between sub-problems without a master problem, ALC provides more flexibility than other methods. However, the initial setting and the update strategy of the penalty weights in ALC still significantly affect its performance and thus are worth further research.

For centralized ALC, the non-monotone weight update strategy based on the theory of dual residual has shown very good improvements over the traditional monotone update, in which the penalty weights can either increase or decrease. In this paper, we extend the research on the dual residual in centralized ALC to the distributed ALC. Through applying the Karush-Kuhn-Tucker (KKT) optimality conditions to the All-In-One (AIO) and decomposed problems, the necessary conditions for the decomposed solution to be optimal are derived, which leads to the definition of primal and dual residuals in distributed ALC. A new non-monotone weight based on both residuals is then proposed, by which all AIO KKT conditions are guaranteed after decomposition. Numerical tests are conducted on two mathematical problems and one engineering problem and the performances of the new update are compared to those of the traditional update. The results show that our proposed methods improve the process efficiency, accuracy, and robustness for distributed ALC.

Copyright © 2015 by ASME

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