An algorithm for optimization with disjoint linear constraints and its application for predicting rain

Tijana Janjic, Yvonne Ruckstuhl, Philippe Toint

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Résumé

A specialized algorithm for quadratic optimization (QO, or, formerly, QP) with
disjoint linear constraints is presented. In the considered class of
problems, a subset of variables are subject to linear equality constraints,
while variables in a different subset are constrained to remain in a convex set.
The proposed algorithm exploits the structure by combining steps in the
nullspace of the equality constraint's matrix with projections onto the convex set. The algorithm is motivated by application in weather forecasting.
Numerical results on a simple model designed for predicting rain show that the
algorithm is an improvement on current practice and that it reduces the
computational burden compared to a more general interior point QO method.
In particular, if constraints are disjoint and the rank of the set of linear
equality constraints is small, further reduction in computational costs can be
achieved, making it possible to apply this algorithm in high dimensional
weather forecasting problems.
langue originaleAnglais
ÉditeurArxiv
Volume1909.04991
Etat de la publicationPublié - 12 sept. 2019

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