PdscoTL

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Purpose

pdscoTL solves linearly constrained convex nonlinear optimization problems.


<equation id="eqn:pdsco"> </equation>


where is a convex separable nonlinear function, , and .

Calling Syntax

Result=tomRun('pdsco',Prob,...);

Inputs

Prob Problem description structure. The following fields are used:
x_0 Initial x vector, used if non-empty.
A The linear constraints coefficient matrix.
b_L,b_U Lower and upper bounds for the linear constraints.
HessPattern Non-zero pattern for the objective function. Only the diagonal is needed. Default if empty is the unit matrix.
PriLevOpt Print level in pdsco solver. If > 0: prints summary information.
SOL Structure with SOL special parameters:
pdco Options structure with fields as defined by pdscoSet.
gamma Primal regularization parameter.
delta Dual regularization parameter.
y0 Initial dual parameters for linear constraints (default 0)
z0 Initial dual parameters for simple bounds (default 1/N )

xsize,zsize are used to scale (x, y, z). Good estimates should improve the performance of the barrier method.

xsize Estimate of the biggest x at the solution. (default 1/N )
zsize Estimate of the biggest z at the solution. (default 1/N )
optParam Structure with optimization parameters. The following fields are used:
MaxIter Maximum number of iterations. (Prob.SOL.pdco.MaxIter).
MinorIter Maximum number of iterations in LSQR (Prob.SOL.pdco.LSQRMaxIter).
eps_x Accuracy for satisfying x. * z = 0
bTol Accuracy for satisfying Ax + r = b, ATy + z = ∇f (x) and x - x1 = bL , x + x2 =bU, where x1 , x2 > 0. (Prob.SOL.pdco.FeaTol)
wait 0 - solve the problem with default internal parameters; 1 - pause: allows interactive resetting of parameters. (Prob.SOL.pdco.wait)

Outputs

Result Structure with result from optimization. The following fields are set by pdscoTL:
x_k Solution vector
f_k Function value at optimum
g_k Gradient of the function at the solution
H_k Hessian of the function at the solution, diagonal only
x_0 Initial solution vector
f_0 Function value at start, x = x_0
xState State of variables. Free == 0; On lower == 1; On upper == 2; Fixed == 3;
bState State of linear constraints. Free == 0; Lower == 1; Upper == 2; Equality == 3;
v_k Lagrangian multipliers (orignal bounds + constraints )
y_k Lagrangian multipliers (for bounds + dual solution vector) The full [z; y] vector as returned from pdsco, including slacks and extra linear constraints after rewriting constraints: -inf < b_L < A * x < b_U < inf ; non-inf lower AND upper bounds
ExitFlag Tomlab Exit status from pdsco MEX
Inform pdsco information parameter:

0 == Solution found

1 == Too many iterations

2 == Linesearch failed too often

Iter Number of iterations
FuncEv Number of function evaluations
GradEv Number of gradient evaluations
HessEv Number of Hessian evaluations
Solver Name of the solver ('pdsco')
SolverAlgorithm Description of the solver

Description

pdsco implements an primal-dual barrier method developed at Stanford Systems Optimization Laboratory (SOL). The problem (#Equation: pdsco) is first reformulated into SOL PDSCO form:

Equation: pdsco


The problem actually solved by pdsco is



where is the primal regularization parameter, typically small but 0 is allowed. Furthermore, is the dual regularization parameter, typically small or 1; must be strictly greater than zero.

With positive the primal-dual solution is bounded and unique.

See pdsco.m for a detailed discussion of and . Note that in pdsco.m, the objective is denoted , and .

Examples

Problem 14 and 15 in tomlab/testprob/con prob.m are good examples of the use of pdscoTL.

M-files Used

pdscoSet.m, pdsco.m, Tlsqrmat.m

See Also

pdcoTL.m