Optimization Methods: Advanced Topics in Optimization - Multilevel Optimization

Module 8 Lecture Notes 3 Multilevel Optimization Introduction The example problems discussed in the previous modules consist of very few decision variables and constraints. However in practical situations, one has to handle an optimization problem involving a large number of variables and constraints. Solving such a problem will be quite cumbersome. In multilevel optimization, such large sized problems are decomposed into smaller independent problems and the overall optimum solution can be obtained by solving each sub-problem independently. In this lecture a decomposition method for nonlinear optimization problems, known as model-coordination method will be discussed. Model Coordination Method Consider a minimization optimization problem F ( x ) consisting of n variables, x1 , x 2 ,..., x n . Min F ( x1 , x 2 ,..., x n ) subjected to constraints

g j ( x1 , x2 ,..., xn ) 0, lxi xi uxi

j = 1,2,..., m i = 1,2,..., n

where lxi and ux i represents the lower and upper bounds of the decision variable xi . Let X = {x1 , x2 ,..., xn } be the decision variable vector. For applying the model coordination method, the vector X should be divided into two subvectors, Y and Z such that Y contains the coordination variables between the subsystems i.e., variables that are common to the subproblems and Z vector contains the free or confined variables of subproblems. If the problem is partitioned into P subproblems, then vector Z can also be partitioned into P variable sets, each set corresponding to each subproblem.

Z1 Z Z = 2 M Z P
Thus the objective function F ( x ) can be partitioned into P parts as shown,

D Nagesh Kumar, IISc, Bangalore

M8L3

Optimization Methods: Advanced Topics in Optimization - Multilevel Optimization

F ( x) = f k (Y , Z k )
k =1 P

where f k (Y , Z k ) denotes the objective function of the kth subproblem. In this the coordination variable Y will appear in all sub-objective functions and Z k will appear only in kth subobjective function. Similarly the constraints can be decomposed as

g k (Y , Z k ) 0

for k = 1,2,..., P

The lower and upper bound constraints are

lY Y uY lZ k Z k uZ k

for k = 1,2,..., P

The problem thus decomposed is solved using a two level approach which is described below. Procedure: First level: Fix the value of the coordination variables, Y at some value, say Yopt . Then solve each independent subproblem and find the value of Z k .

Min f k (Y , Z k )
subject to
g k (Y , Z k ) 0 lY Y uY lZ k Z k uZ k for k = 1,2,..., P

Let the values of Z k obtained by solving this problem be Z k opt . Second level: Now consider the problem after substituting the Z k opt values.
Min f (Y ) = f k (Y , Z k opt )
P k =1

subject to

lY Y uY

D Nagesh Kumar, IISc, Bangalore

M8L3

Optimization Methods: Advanced Topics in Optimization - Multilevel Optimization

Solve this problem to find a new Yopt . Again solve the first level problems. This process is repeated until convergence is achieved.

D Nagesh Kumar, IISc, Bangalore

M8L3