Department of Mechanical Engineering

Indian Institute of Technology Kanpur

ME 752: Optimization Methods in Engineering Design
Exercises on Constrained Optimization

1. We want to minimize f (x) = x2 − 8x + 10 subject to x ≥ 6 by using the penalty function

1 2
2 max[0, g(x)] , where g(x) = 6 − x. Minimize a sequence of penalized functions, with the
penalty parameter values c = 0, 0.0001, 0.001, 0.01, 0.1, 1, 10, 100, 1000, 10000.

2. Starting from the origin and using square trust regions by imposing artificial bounds on the
variables (take initial size as 0.4 units), use quadratic programming as the iterative step for
the unconstrained minimization problem of the function 9(x21 − x2 )2 + (x1 − 1)2 . Use exact
gradient and Hessian for defining the quadratic model function at every iteration.

3. Consider the problem

Minimize f (x) = 2(x21 + x22 − 1) − x1

subject to x21 + x22 − 1 = 0 .

(a) Show that x∗ = [1 0]T is the minimizer and find the associated Lagrange multiplier.
(b) Suppose that xk = [cos θ sin θ]T where θ ≈ 0. Verify feasiblity and closeness to opti-
mality.
(c) Set up and solve the corresponding quadratic program.
(d) With a full Newton step xk+1 = xk + dk , examine feasibility at xk+1 and compare the
function values at xk and xk+1 .
(e) From this exercise, can you draw any significant conclusion about an active set method?

4. Solve the NLP problem

Minimize f (x) = −3x − 4y − 5x

subject to x2 + y 2 + (z − 1)2 ≤ 4,
x2 + y 2 + (z + 1)2 ≤ 4,
(x − 1)2 + y 2 + z 2 ≤ 4;

by the cutting plane method.

5. A chain is suspended from two thin hooks that are 160 cm apart on a horizontal line. The
chain consists of 20 links of steel, each 10 cm in length. The equilibrium shape of the chain
is found by formulating the problem as
n
X n
X n q
X
minimize c i yi subject to yi = 0 and L− l2 − yi2 = 0,
i=1 i=1 i=1
 where ci = n − i + 1/2, n = 20, l = 10, L = 160. Derive the dual function for this problem
and work out a complete steepest ascent formulation for maximizing the dual function, and
hence solving the original problem.
Implement this formulation in a steepest ascent loop and obtain optimal values of Lagrange
multipliers, equilibrium configuration and the corresponding (minimum) potential energy, i.e.
( ni=1 ci yi ).
P

6. Starting from the origin (which is the unconstrained minimum point of the objective function),
use augmented Lagrangian method to minimize the function 5x21 +4x1 x2 +3x22 over the domain
defined by constraints 2 sin x1 ≤ x2 ≤ 2 cos x1 and x1 + x22 = 15. (Try penalty parameter
values 2, 10 and 20.)

7. Use an alternative method to solve the above NLP problem. Now, rather than using any
formal method of constrained optimization, use variable elimination, study of the domain,
function plots and common sense to crack the problem. In brief, solve the problem the way
you would do if solving this were utterly necessary for your survival and if you had not taken
this optimization course. (You do not need to go all the way plotting contours like Reeta!)

8. Starting from the point (1, 1), perform two iterations of the feasible directions (Zoutendijk)
method to find the point, farthest from the point C(1.5, 4), in the domain defined by

4.5x1 + x22 ≤ 18, 2x1 − x2 ≥ 1, x1 , x2 ≥ 0 .

9. Starting from the feasible solution (1, −2), and with initial line-search bound αU = 0.25, solve
the problem

Minimize x21 + 2x22 subject to x21 + x22 ≥ 5

by the generalized reduced gradient method using

(a) slack variable strategy,

(b) active set strategy.

10. Use the active set formulation of the gradient projection method to solve the NLP problem

Minimize (x1 − 1)2 + 4(x2 − 3)2

subject to x21 + x22 ≤ 5
(x1 − 1)2 + x22 ≥ 1

with initial line-search bound αU = 0.25, and starting point (a) (0, 0) and (b) (1, 1.5).