Optimization with Least Constraint Violation

TL;DR

This paper develops a theoretical framework and algorithms for constrained optimization problems where the feasible region may be empty, focusing on solutions with minimal constraint violations, and introduces an L-stationary condition and a smoothing method.

Contribution

It extends constrained optimization to handle possibly infeasible problems by reformulating as an MPEC and introduces the L-stationary condition and a smoothing algorithm for solution.

Findings

Reformulation as an Lipschitz equality constrained problem.

Introduction of the L-stationary optimality condition.

Development of a smoothing Fischer-Burmeister method.

Abstract

Study about theory and algorithms for constrained optimization usually assumes that the feasible region of the optimization problem is nonempty. However, there are many important practical optimization problems whose feasible regions are not known to be nonempty or not, and optimizers of the objective function with the least constraint violation prefer to be found. A natural way for dealing with these problems is to extend the constrained optimization problem as the one optimizing the objective function over the set of points with the least constraint violation. Firstly, the minimization problem with least constraint violation is proved to be an Lipschitz equality constrained optimization problem when the original problem is a convex optimization problem with possible inconsistent conic constraints, and it can be reformulated as an MPEC problem. Secondly, for nonlinear programming problems with possible inconsistent constraints, various types of stationary points are presented for the MPCC problem which is equivalent to the minimization problem with least constraint violation, and an elegant necessary optimality condition, named as L-stationary condition, is established from the classical optimality theory of Lipschitz continuous optimization. Finally, the smoothing Fischer-Burmeister function method for nonlinear programming case is constructed for solving the problem minimizing the objective function with the least constraint violation. It is demonstrated that, when the positive smoothing parameter approaches to zero, any point in the outer limit of the KKT-point mapping is an L-stationary point of the equivalent MPCC problem.