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  4. Optimization Problem Coupled with Differential Equations: A Numerical Algorithm Mixing an Interior-Point Method and Event Detection
 
research article

Optimization Problem Coupled with Differential Equations: A Numerical Algorithm Mixing an Interior-Point Method and Event Detection

Caboussat, A.  
•
Landry, C.
•
Rappaz, J.  
2010
Journal Of Optimization Theory And Applications

The numerical analysis of a dynamic constrained optimization problem is presented. It consists of a global minimization problem that is coupled with a system of ordinary differential equations. The activation and the deactivation of inequality constraints induce discontinuity points in the time evolution. A numerical method based on an operator splitting scheme and a fixed point algorithm is advocated. The ordinary differential equations are approximated by the Crank-Nicolson scheme, while a primal-dual interior-point method with warm-starts is used to solve the minimization problem. The computation of the discontinuity points is based on geometric arguments, extrapolation polynomials and sensitivity analysis. Second order convergence of the method is proved when an inequality constraint is activated. Numerical results for atmospheric particles confirm the theoretical investigations.

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Type
research article
DOI
10.1007/s10957-010-9714-1
Web of Science ID

WOS:000282709500009

Author(s)
Caboussat, A.  
Landry, C.
Rappaz, J.  
Date Issued

2010

Published in
Journal Of Optimization Theory And Applications
Volume

147

Start page

141

End page

156

Subjects

Initial value problem

•

Constrained optimization

•

Warm-starts

•

Discontinuity points

•

Sensitivity analysis

•

Organic Aerosols

•

Discontinuities

•

Systems

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
ASN  
Available on Infoscience
December 16, 2011
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/75125
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