Combinatorial structures in nonlinear programming

Stefan Scholtes, University of Cambridge

Nonconvexity in optimization problems can occur in two ways, analytically through mixed curvature in smooth functions, and structurally, through the use of combinatorial selections, operationalised through "if" statements or finite "max" and "min" operations involving otherwise smooth selection functions. The existing NLP framework caters well for the analytic nonconvexity but is less suited to deal with the structural nonconvexity induced by combinatorial selections, not least since the latter induces the added complication of nonsmoothness. The lack of interest in such problems is surprising, given the multitude of practical problems which involve such functions.

We will give several examples of structurally nonconvex functions and explain why smooth reformulations of the resulting NLPs will typically be of limited use since they violate vital constraint qualifications. We suggest an extension of NLP theory and methods to optimization problems which involve such combinatorial, structurally non-convex, functions. Our approach is simple and avoids the use of heavy nonsmooth analysis machinery. We show that the familiar SQP algorithm can be extended to this more general framework and that it maintains its local quadratic convergence properties. We close with an outline research agenda for this new area.


Chemnitz Workshop

Last modified: Thu Jul 8 20:00:00 CEST 2004