A Partially Feasible Distributed SQO Method for Two-block General Linearly Constrained Smooth Optimization

TL;DR

This paper introduces a novel distributed sequential quadratic optimization method for large-scale two-block constrained problems, ensuring feasibility, convergence, and efficiency, with applications demonstrated in power dispatch and data mining.

Contribution

The paper develops a partially feasible distributed SQO method that decomposes large problems into smaller subproblems, incorporating a disturbance contraction term for improved feasibility and convergence.

Findings

Method guarantees global convergence and superlinear/quadratic rates.

Numerical tests show high effectiveness on power dispatch and academic problems.

The approach efficiently handles large-scale constrained optimization problems.

Abstract

This paper discusses a class of two-block smooth large-scale optimization problems with both linear equality and linear inequality constraints, which have a wide range of applications, such as economic power dispatch, data mining, signal processing, etc.Our goal is to develop a novel partially feasible distributed (PFD) sequential quadratic optimization (SQO) method (PFD-SQO method) for this kind of problems. The design of the method is based on the ideas of SQO method and augmented Lagrangian Jacobian splitting scheme as well as feasible direction method,which decomposes the quadratic optimization (QO) subproblem into two small-scale QOs that can be solved independently and parallelly. A novel disturbance contraction term that can be suitably adjusted is introduced into the inequality constraints so that the feasible step size along the search direction can be increased to 1. The new iteration points are generated by the Armijo line search and the partially augmented Lagrangian function that only contains equality constraints as the merit function. The iteration points always satisfy all the inequality constraints of the problem. The theoretical properties, such as global convergence, iterative complexity, superlinear and quadratic rates of convergence of the proposed PFD-SQO method are analyzed under appropriate assumptions, respectively. Finally, the numerical effectiveness of the method is tested on a class of academic examples and an economic power dispatch problem, which shows that the proposed method is quite promising.