论文标题
重叠的Schwarz分解限制了二次程序
Overlapping Schwarz Decomposition for Constrained Quadratic Programs
论文作者
论文摘要
我们提出了一个重叠的Schwarz分解算法,用于受约束的二次程序(QPS)。传统上,Schwarz算法用于求解由部分微分方程引起的线性代数系统,但我们最近表明它们也有效解决结构化优化问题。在提出的方案中,我们考虑其代数结构可以用图表示的QP。图形域被分区分为重叠的子域(产生一组耦合的子问题),并行计算了子问题的解决方案,并通过更新重叠区域中的原始二重性信息来实现收敛性。我们表明,如果重叠足够大,并且收敛速率随重叠的大小而呈指数提高,则可以保证收敛性。收敛结果依赖于图形结构问题的关键特性,该特性称为敏感性的指数衰减。在这里,我们建立了该属性对受约束QP的条件(如网络优化和最佳控制中所示的条件),从而扩展了解决无约束QP的现有工作。通过使用在具有9,241个节点的网络上定义的DC最佳功率流问题,可以证明Schwarz方案的数值行为。
We present an overlapping Schwarz decomposition algorithm for constrained quadratic programs (QPs). Schwarz algorithms have been traditionally used to solve linear algebra systems arising from partial differential equations, but we have recently shown that they are also effective at solving structured optimization problems. In the proposed scheme, we consider QPs whose algebraic structure can be represented by graphs. The graph domain is partitioned into overlapping subdomains (yielding a set of coupled subproblems), solutions for the subproblems are computed in parallel, and convergence is enforced by updating primal-dual information in the overlapping regions. We show that convergence is guaranteed if the overlap is sufficiently large and that the convergence rate improves exponentially with the size of the overlap. Convergence results rely on a key property of graph-structured problems that is known as exponential decay of sensitivity. Here, we establish conditions under which this property holds for constrained QPs (as those found in network optimization and optimal control), thus extending existing work that addresses unconstrained QPs. The numerical behavior of the Schwarz scheme is demonstrated by using a DC optimal power flow problem defined over a network with 9,241 nodes.