Seminar Details:

LANS Informal Seminar
"Generalized Equation Concepts for On-Line Nonlinear Programming"

DATE: July 15, 2009

TIME: 15:00:00 - 16:00:00
SPEAKER: Victor M. Zavala, MCS
LOCATION: Building 221 Conference Room A261, Argonne National Laboratory

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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.


Please send questions or suggestions to Jeffrey Larson: jmlarson at anl dot gov.