Generalized Equation Concepts for On-Line Nonlinear Programming

Event Sponsor: 
LANS Informal Seminar
Start Date: 
Jul 15 2009 - 3:00pm to 4:00pm
Building/Room: 
Building 221 Conference Room A261
Location: 
Argonne National Laboratory
Speaker(s): 
Victor M. Zavala
Speaker(s) Title: 
MCS
Host: 

We establish results for the problem of tracking a time-moving manifold arising in on-line nonlinear programming by casting this as a generalized equation. We demonstrate that if points along a solution manifold are consistently strongly regular, it is possible to track the manifold approximately by solving a linear complementarity problem (LCP) at each time step. We derive sufficient conditions that guarantee that the tracking error remains bounded to second order with the size of the time step, even if the LCP is solved only to first order accuracy. We make use of these results to derive a fast augmented Lagrangean tracking algorithm and demonstrate the developments through a numerical case study.

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