MSNLP

Optimal Methods Inc, 7134 Valburn Dr., Austin, TX 78731 www.optimalmeth.com, 512-346-7837

OptTek System, Inc., 1919 7th St., Boulder, CO 80302, www.opttek.com, 303-447-3255

# Introduction

MSNLP is a multistart heuristic algorithm designed to find global optima of smooth constrained nonlinear programs (NLPs). By "multistart" we mean that the algorithm calls an NLP solver from multiple starting points, keeps track of all feasible solutions found by that solver, and reports back the best of these as its final solution. The starting points are computed by a randomized driver, which generates starting points using probability distributions. There are currently two randomized drivers, Pure Random and Smart Random - see the description of the POINT_GENERATION parameter. The Smart Random generator uses an initial coarse search to define a promising region within which random starting points are concentrated. When interfaced with the GAMS modeling language, any GAMS NLP solver can be called. When used as a callable system, MSNLP uses the LSGRG2 or any GAMS NLP solver (see www.optimalmeth.com and (Smith and Lasdon, 1992)), and this is also provided (optionally) in the GAMS version.

If a problem is nonsmooth (discontinuous functions and/or derivatives, GAMS problem type DNLP), the NLP solver calls may be less reliable than if the problem was smooth.

There is no guarantee that the final solution is a global optimum, and no bound is provided on how far that solution is from the global optimum. However, the algorithm has been tested extensively on 135 problems from the set gathered by Chris Floudas [Floudas, et al., 1999], and it found the best known solution on all but three of them to within a percentage gap of 1%, using default parameters and options (which specify 1000 iterations). It solved two of those three to within 1% given 2000 iterations. It also solved 332 of 339 problems from the GAMS Globallib library to within 1% of the best known solution using default parameters, and solved most of the seven remaining ones by increasing the iteration limit or using another NLP solver. These results are described in [Lasdon et al., 2004].

A multistart algorithm can improve the reliability of any NLP solver, by calling it with many starting points. If you have a problem where you think the current NLP solver is failing to find even a local solution, choose an NLP solver and a limit on the number of solver calls, and try MSNLP. Even if a single call to the solver fails, multiple calls from the widely spaced starting points provided by this algorithm have a much better chance of success.

Often an NLP solver fails when it terminates at an infeasible solution. In this situation, the user is not sure if the problem is really infeasible or if the solver is at fault (if all constraints are linear or convex the problem is most likely infeasible). A multistart algorithm can help in such cases. To use it, the problem can be solved in its original form, and some solver calls may terminate with feasible solutions. The algorithm will return the best of these. If all solver calls terminate infeasible, the problem can be reformulated as a feasibility problem. That is, introduce "deviation" or "elastic" variables into each constraint, which measure the amount by which it is violated, and minimize the sum of these violations, ignoring the true objective. MSNLP can be applied to this problem, and either has a much better chance of finding a feasible solution (if one exists) than does a single call to an NLP solver. If no feasible solution is found, you have much more confidence that the problem is truly infeasible.

The randomized drivers generate trial points which are candidate starting points for the NLP solver. These are filtered to provide a smaller subset from which the solver attempts to find a local optimum. In the discussion which follows, we refer to this NLP solver as $$L$$, for Local solver.

The most general problem MSNLP can solve has the form

$$\label{MSNLP_eqn-1} \text{minimize } f(x)$$

subject to the nonlinear constraints

$$\label{MSNLP_eqn-2} gl \le G(x) \le gu$$

and the linear constraints

$$\label{MSNLP_eqn-3} l \le Ax \le u$$

$$\label{MSNLP_eqn-4} x \in S,$$

where $$x$$ is an $$n$$-dimensional vector of continuous decision variables and the vectors $$gl$$, $$gu$$, $$l$$, and $$u$$ contain upper and lower bounds for the nonlinear and linear constraints respectively. The matrix $$A$$ is $$m_2$$ by $$n$$ and contains the coefficients of any linear constraint. The set $$S$$ is defined by simple bounds on $$x$$, and we assume that it is closed and bounded, i.e., that each component of $$x$$ has a finite upper and lower bound. This is required by all drivers (see parameter ARTIFICIAL_BOUND which provides bounds when none are specified in the model). The objective function $$f$$ and the $$m_1$$- dimensional vector of constraint functions $$G$$ are assumed to have continuous first partial derivatives at all points in $$S$$. This is necessary so that $$L$$ can be applied to the NLP problems formed from (1) - (4).

An important function used in this multistart algorithm is the $$L_1$$ exact penalty function, defined as

$$\label{MSNLP_eqn-5} P_1(x,w) = f(x) + \sum_{i=1}^{m} {W_iviol(g_i(x))}$$

where the $$w_i$$ are nonnegative penalty weights, $$m=m_1+m_2$$, and the vector $$g$$ has been extended to include the linear constraints (4). The function $$viol(g_i(x))$$ is equal to the absolute amount by which the $$i$$th constraint is violated at the point $$x$$. It is well known (see [Nash and Sofer, 1996]) that if $$x^*$$ is a local optimum of (1) - (4), $$u^*$$ is a corresponding optimal multiplier vector, the second order sufficiency conditions are satisfied at ( $$x^*, u^*$$ ) , and

$$\label{MSNLP_eqn-6} w_t > abs(u_i^*)$$

then $$x^*$$ is a local unconstrained minimum of $$P_1$$ . If (1) - (4) has several local minima, and each $$w_i$$ is larger than the maximum of all absolute multipliers for constraint $$i$$ over all these optima, then $$P_i$$ has a local minimum at each of these local constrained minima. We will use $$P_i$$ to set thresholds in the merit filter.

# Combining Search Methods and Gradient-Based NLP Solvers

For smooth problems, the relative advantages of a search method over a gradient-based NLP solver are its ability to locate an approximation to a good local solution (often the global optimum), and the fact that it can handle discrete variables. Gradient-based NLP solvers converge to the "nearest" local solution, and have no facilities for discrete variables, unless they are embedded in a rounding heuristic or branch-and-bound method. Relative disadvantages of search methods are their limited accuracy, and their weak abilities to deal with equality constraints (more generally, narrow feasible regions). They find it difficult to satisfy many nonlinear constraints to high accuracy, but this is a strength of gradient-based NLP solvers. Search methods also require an excessive number of iterations to find approximations to local or global optima accurate to more than two or three significant figures, while gradient-based solvers usually achieve four to eight-digit accuracy rapidly. The motivation for combining search and gradient-based solvers in a multi-start procedure is to achieve the advantages of both while avoiding the disadvantages of either.

# Output

## Log File

When it operates as a GAMS solver, MSNLP will by default write information on their progress to the GAMS log file. When used as a callable system, this information, if requested, will be written to a file opened in the users calling program. The information written consists of:

1. Echos of important configuration and setup values

2. Echo (optionally) of options file settings processed

3. Echos of important algorithm settings, parameters, and termination criteria

4. The iteration log

5. Final results, termination messages, and status report

A segment of that iteration log from stages 1 and 2 of the algorithm is shown below for the problem ex8_6_2_30.gms, which is one of a large set of problems described in [Floudas, et al., 1999]. This is a 91 variable unconstrained minimization problem, available from GLOBALLib. There are 200 iterations in stage one and 1000 total iterations (see Appendix A for an algorithm description), with output every 20 iterations and every solver call.

The headings below have the following meanings:

Itn iteration number
Penval Penalty function value
Merit Filter ACC if the merit filter accepts the point, REJ if it rejects
Merit Threshold threshold value for merit filter: accepts if Penval $$<$$ Threshold
Dist Filter ACC if the distance filter accepts the point, REJ if it rejects
Best Obj Best feasible objective value found thus far
Solver Obj Objective value found by NLP solver at this iteration
Term Code Code indicating reason for termination of NLP solver:
KTC means Kuhn-Tucker optimality conditions satisfied
FRC means that the fractional objective change is less than a tolerance for some number of consecutive iterations
INF means solver stopped at an infeasible point
Sinf sum of infeasibilities at point found by NLP solver

Iterations 0 through 200 below show the initial NLP solver call (at the user-specified initial point, which finds a local minimum with objective value -161.8), and every 20th iteration of stage 1, which has no other solver calls. At iteration 200 stage 1 ends, and the solver is started at the best of the 200 stage 1 points, finding a local min with objective -176.0. The next solver call at iteration 207 finds a better objective of -176.4. Note that, at iteration 207, the OptQuest trial solution has a Penval of -23.18, and this is less than the merit threshold of -20.75, so the merit filter ACCepts the trial solution, as does the distance filter. The next 9 solver calls fail to improve this value, so Best Obj remains the same, until at iteration 432 a solution with value -176.6 is found. At iteration 473, the solver call finds a value of -177.5. Further solver calls do not find an improved solution and are not shown. The solution with value -177.5 is the best known solution, but MSNLP cannot guarantee this.

   Itn    Penval  Merit    Merit    Dist    Best      Solver    Term    Sinf
Filter Threshold  Filter   Obj        Obj     Code
0 +1.000e+030     -1.000e+030      -1.618e+002 -1.618e+002 FRC +0.000e+000
20 -4.485e+000
40 -6.321e+000
60 -1.126e+001
80 +2.454e+000
100 +8.097e+001
120 +5.587e+001
140 +1.707e+004
160 +2.034e+002
180 +7.754e+001
200 -6.224e+000

Itn    Penval  Merit    Merit    Dist    Best      Solver    Term    Sinf
Filter Threshold  Filter  Obj         Obj     Code
201 +1.000e+030 ACC -1.000e+030  ACC -1.618e+002 -1.760e+002 FRC +0.000e+000
207 -2.318e+001 ACC -2.075e+001  ACC -1.760e+002 -1.764e+002 FRC +0.000e+000
220 -8.324e+000 REJ -2.318e+001  ACC -1.764e+002
240 +8.351e+000 REJ -1.834e+001  ACC -1.764e+002
251 -1.117e+001 ACC -1.008e+001  ACC -1.764e+002 -1.682e+002 FRC +0.000e+000
256 -1.244e+001 ACC -1.117e+001  ACC -1.764e+002 -1.758e+002 FRC +0.000e+000
258 -1.550e+001 ACC -1.244e+001  ACC -1.764e+002 -1.678e+002 FRC +0.000e+000
260 -7.255e+000 REJ -1.550e+001  ACC -1.764e+002
280 +8.170e+001 REJ -1.220e+001  ACC -1.764e+002
282 -2.521e+001 ACC -1.220e+001  ACC -1.764e+002 -1.758e+002 FRC +0.000e+000
300 +5.206e+001 REJ -2.521e+001  ACC -1.764e+002
300 +5.206e+001 REJ -2.521e+001  ACC -1.764e+002
320 +1.152e+000 REJ -1.642e+001  ACC -1.764e+002
329 -2.111e+001 ACC -1.294e+001  ACC -1.764e+002 -1.763e+002 FRC +0.000e+000
338 -3.749e+001 ACC -2.111e+001  ACC -1.764e+002 -1.763e+002 FRC +0.000e+000
340 +2.235e+002 REJ -3.749e+001  ACC -1.764e+002
360 +8.947e+001 REJ -2.363e+001  ACC -1.764e+002
366 -3.742e+001 ACC -2.363e+001  ACC -1.764e+002 -1.761e+002 FRC +0.000e+000
380 -2.244e+001 REJ -3.742e+001  ACC -1.764e+002
391 -2.974e+001 ACC -2.244e+001  ACC -1.764e+002 -1.754e+002 FRC +0.000e+000
400 +1.986e+002 REJ -2.974e+001  ACC -1.764e+002
400 +1.986e+002 REJ -2.974e+001  ACC -1.764e+002
420 -1.231e+001 REJ -2.359e+001  ACC -1.764e+002
432 -2.365e+001 ACC -2.359e+001  ACC -1.764e+002 -1.766e+002 FRC +0.000e+000
440 +6.335e+000 REJ -2.365e+001  ACC -1.766e+002
460 -8.939e+000 REJ -1.872e+001  ACC -1.766e+002
473 -3.216e+001 ACC -1.872e+001  ACC -1.766e+002 -1.775e+002 FRC +0.000e+000
480 +1.744e+002 REJ -3.216e+001  ACC -1.775e+002


## The LOCALS File

The LOCALS file is a text file containing objective and variable values for all local solutions found by MSNLP. It is controlled by the LOCALS_FILE and LOCALS_FILE_FORMAT keywords in the MSNLP options file. An example for the problem EX_8_1_5 from the Floudas problem set (available on GLOBALLib) is shown below. The headings, included for explanatory purposes and not part of the file, have the following meaning:

No. index of local solution
Obj objective value of local solution
Var variable index
Value variable value
No. Obj           Var Value
1  -1.03163e+000  1  -8.98448e-002
1  -1.03163e+000  2   7.12656e-001
2  -1.03163e+000  1   8.98418e-002
2  -1.03163e+000  2  -7.12656e-001
3  -2.15464e-001  1   1.70361e+000
3  -2.15464e-001  2  -7.96084e-001
4  -2.15464e-001  1  -1.70361e+000
4  -2.15464e-001  2   7.96084e-001
5   0.00000e+000  1   0.00000e+000
5   0.00000e+000  2   0.00000e+000
6   2.10425e+000  1   1.60710e+000
6   2.10425e+000  2   5.68656e-001
7   2.10425e+000  1  -1.60711e+000
7   2.10425e+000  2  -5.68651e-001


Thus local solutions 1 and 2 both have objective values of -1.03163. The first solution has variable values x = -8.98448e-002, y = 7.12656e-001, where these are in the same order as they are defined in the gams model. The second local solution has x = 8.98418e-002, y = -7.12656e-001. Seven local solutions are found. This output is produced with all default parameter values for MSNLP options and tolerances, except the distance and merit filters were turned off, i.e the keywords USE_DISTANCE_FILTER and USE_MERIT_FILTER were set to 0 in the MSNLP options file. This causes the NLP solver to be called at every stage 2 trial point, and is recommended if you wish to obtain as many local solutions as possible.

# The Options File

The options file is a text file containing a set of records, one per line. Each record has the form <keyword> <value>, where the keyword and value are separated by one or more spaces. All relevant options are listed in this guide. You can also get a sample option file with all options and their default values by specifying the single option help in an option file. The list of all options appears in the log file. The options are described below.

Option Description Default
artificial_bound default upper/lower bound 10000
basin_decrease_factor reduction of MAXDIST 0.2
basin_overlap_fix switch for MAXDIST logic 1
distance_factor distance activation factor 1
distance_waitcycle iterations before distance filter threshold is increased 20
dynamic_distance_filter switch for MAXDIST reduction logic 1
dynamic_merit_filter switch for merit threshold increase logic 1
enable_screen_output switch for log output 0
enable_statistics_log switch for statistics file stats.log 0
feasibility_tolerance feasibility check for point returned by NLP solver 0.0001
iteration_limit total number of MSNLP iterations 1000
iteration_print_frequency frequency of iteration print 20
locals_file filename for local file
locals_file_format file format for local file report
maxtime maximum runtime in seconds GAMS ResLim
max_locals maximum number of local optima found 1000
max_solver_calls maximum number of NLP solver calls 1000
max_solver_calls_noimprovement maximum number non-improving solver calls 0
merit_waitcycle iterations before merit filter threshold is increased 20
nlpsolver NLP solver to be used Conopt if licensed otherwise lsgrg
oqnlp_debug enable debug info 0
point_generation starting point generator smartrandom1
sampling_distribution distribution for smartrandom1 0
solvelink solvelink for GAMS NLP solver 5
solver_log_to_gams_log switch to copy the NLP solver log to the normal log file 0
stage1_iterations number of iterations in stage 1 200
threshold_increase_factor factor to increase merit filter threshold 0.2
use_distance_filter distance filter 1
use_merit_filter merit filter 1

artificial_bound (real): default upper/lower bound

This value (its negative) is given to the driver as the upper (lower) bound for any variable with no upper or lower bound. However, the original bounds are given to the local solver, so it can produce solutions not limited by this artificial bound. All drivers must have finite upper and lower bounds for each variable. If artificial_bound (or any of the user- supplied bounds) is much larger than any component of the optimal solution, the driver will be less efficient because it is searching over a region that is much larger than needed. Hence the user is advised to try to provide realistic values for all upper and lower bounds. It is even more dangerous to make artificial_bound smaller than some component of a globally optimal solution, since the driver can never generate a trial point near that solution. It is possible, however, for the local solver to reach a global solution in this case, since the artificial bounds are not imposed on it

Default: 10000

basin_decrease_factor (real): reduction of MAXDIST

This value must be between 0 and 1. If dynamic_distance_filter is set to 1, the MAXDIST value associated with any local solution is reduced by (1-basin_decrease_factor) if distance_waitcycle consecutive trial points have distance from that solution less than MAXDIST.

Range: [0, 1]

Default: 0.2

basin_overlap_fix (boolean): switch for MAXDIST logic

A value of 1 turns on logic which checks the MAXDIST values of all pairs of local solutions, and reduces any pair of MAXDIST values if their sum is greater than the distance between the 2 solutions. This ensures that the spherical models of their basins of attracting do not overlap. A value of 0 turns off this logic. Turning it off can reduce the number of NLP solver calls, but can also cause the algorithm to miss the global solution.

Default: 1

distance_factor (real): distance activation factor

If the distance between a trial point and any local solution found previously is less than distance_factor*MAXDIST, the NLP solver is not started from that trial point. MAXDIST is the largest distance ever traveled to get to that local solution. Increasing distance_factor leads to fewer solver calls and risks finding a worse solution. Decreasing it leads to more solver calls and possibly a better solution.

Default: 1

distance_waitcycle (integer): iterations before distance filter threshold is increased

This value must be a positive integer. If the distance filter is used, and there are distance_waitcycle consecutive iterations where the distance filter logic causes the NLP solver not to be started, the distance filter threshold is increased by the factor threshold_increase_factor. Increasing distance_waitcycle usually leads to fewer solver calls, but risks finding a worse solution. Decreasing it leads to more solver calls, but may find a better solution.

Default: 20

dynamic_distance_filter (boolean): switch for MAXDIST reduction logic

A value of 1 turns on logic which reduces the value of MAXDIST (described under the use_distance_filter keyword) for a local solution if use_distance_filter consecutive trial points have a their distances from that solution less than MAXDIST. MAXDIST is multiplied by (1-basin_decrease_factor). A value of 0 turns off this logic. Turning it off can decrease the number of NLP solver calls, but can also lead to a worse final solution.

Default: 1

dynamic_merit_filter (integer): switch for merit threshold increase logic

A value of 1 turns on logic which dynamically varies the parameter which increases the merit filter threshold, threshold_increase_factor. If merit_waitcycle consecutive trial points have been rejected by the merit filter, this value is replaced by max(threshold_increase_factor, val), where val is the value of threshold_increase_factor which causes the merit filter to just accept the best of the previous merit_waitcycle trial points. A value of 0 turns off this logic. Turning it off can reduce NLP solver calls, but may lead to a worse final solution.

Default: 1

enable_screen_output (boolean): switch for log output

A value of 0 turns off the writing of the iteration log and termination messages to the GAMS log file that appears on the screen, while 1 enables it.

Default: 0

enable_statistics_log (boolean): switch for statistics file stats.log

Using a value of 1 creates a text file called stats.log in the project directory containing one line of problem (name, variables, constraints) and performance information (best objective value, total solver time, iterations, iterations to best solution, etc) for each problem solved.

Default: 0

feasibility_tolerance (real): feasibility check for point returned by NLP solver

This tolerance is used to check each point returned by an NLP solver for feasibility. If the largest absolute infeasibility at the point is larger than this tolerance, the point is classified infeasible. This test is made because points returned by NLP solvers may occasionally be infeasible despite feasible status codes. Some NLP solvers use internal scaling before testing for feasibility. The unscaled problem may be infeasible, while the scaled one is feasible. If this occurs, increasing this tolerance (to 1.e-2 or larger) often eliminates the problem.

Default: 0.0001

iteration_limit (integer): total number of MSNLP iterations

Increasing this limit can allow MSNLP to find a better solution. Try it if your run using 1000 iterations does not take too long. Surprisingly, the best solution using, say 2000 iterations, may be found in the first 1000 iterations, and that solution may be better than the one found with an iteration limit of 1000. This is because OptQuest changes its search strategy depending on the iteration limit. Because of this, it is also possible that increasing the iteration limit will yield a worse solution, but this is rare. Decreasing this iteration limit usually leads to a worse solution, but also reduces run time. MSNLP iterations can not be set using GAMS IterLim. The GAMS IterLim is used as the iteration limit for the NLP subsolves in a MSNLP run.

Default: 1000

iteration_print_frequency (integer): frequency of iteration print

Synonym: gams_itn_print_frequency

If the MSNLP iteration log is written to the GAMS log file, one line of output is written every kth iteration, where k is the value given here.

Default: 20

locals_file (string): filename for local file

Specify a complete path and name for a file to which the objective value and values of all variables for all local solutions found will be written. For example, C:\mydirectory\locals.out. There are 2 possible formats for this file, specified by the locals_file_format option below. If there is no locals_file record in the options file, the locals file will not be created.

locals_file_format (string): file format for local file

There are 2 possible values for this option. The report entry creates the locals file in a format designed to be examined easily by eye, but processed less easily by a computer program or spreadsheet. The data1 entry creates a file with many records, each on a single line, each line having the following format: [index of local optimum] [objval] [var index] [var value]

Default: report

valuemeaning
report Report file format
data1 Data1 file format

maxtime (integer): maximum runtime in seconds

Synonym: reslim

When the execution time exceeds this value, the system will stop, returning the best solution found.

Default: GAMS ResLim

max_locals (integer): maximum number of local optima found

When the number of distinct local solutions found exceeds the value specified here, the system will stop, returning the best solution found.

Default: 1000

max_solver_calls (integer): maximum number of NLP solver calls

When the number of calls to the NLP solver exceeds the value specified here, the system will stop, returning the best solution found.

Default: 1000

max_solver_calls_noimprovement (integer): maximum number non-improving solver calls

The positive integer specified here will cause the system to stop whenever the number of consecutive solver calls with a fractional improvement in the best objective value found less than 1.e-4 exceeds that value. In other words, if the value specified is 50, and there are more than 50 consecutive solver calls where the relative change in the best objective was less than 1.e-4 in all iterations, the system will stop.

Default: 0

merit_waitcycle (integer): iterations before merit filter threshold is increased

This value must be a positive integer. If the merit filter is used, and there are merit_waitcycle consecutive iterations where the merit filter logic causes the NLP solver not to be started, the merit filter threshold is increased by the factor threshold_increase_factor. Increasing merit_waitcycle usually leads to fewer solver calls, but risks finding a worse solution. Decreasing it leads to more solver calls, but may find a better solution.

Default: 20

nlpsolver (string): NLP solver to be used

This option is available only within GAMS. It specifies the NLP solver to be called. Any GAMS NLP solver for which the user has a license can be used. Further, one can specify an option file for the GAMS NLP solver by appending a .n with n=1..999 to the solver name. For example, NLPSOLVER conopt.1 will instruct the NLP solver CONOPT to use option file conopt.opt, NLPSOLVER conopt.2 will make CONOPT read option file conopt.op2 and so on.

Default: Conopt if licensed otherwise lsgrg

oqnlp_debug (integer): enable debug info

Synonym: msnlp_debug

Range: [0, 2]

Default: 0

point_generation (string): starting point generator

Selection of point generation algorithm.

Default: smartrandom1

valuemeaning
random random point generation
Causes trial points to be generated by sampling each variable from a uniform distribution defined within its bounds
hitandrun hit and run point generation
smartrandom1 smart random point generation
Generates trial points by sampling each variable independently from either normal or triangular distributions, whose parameters are determined as described in Appendix A of the MSNLP User Guide.
test2 test2 point generation
test3 test3 point generation

sampling_distribution (integer): distribution for smartrandom1

This keyword is relevant only when point_generation is set to smartrandom1. Then a value of 0 causes normal distributions to be used to generate trial points, while a value of 1 causes triangular distributions to be used.

Default: 0

valuemeaning
0 normal
1 triangular

Default: 5

valuemeaning
1 Call GAMS NLP solver via script
2 Call GAMS NLP solver via module
5 Call GAMS NLP solver in memory

solver_log_to_gams_log (boolean): switch to copy the NLP solver log to the normal log file

Setting the parameter to 1 instructs MSNLP to copy the log from the NLP subsolver to the MSNLP log. It can be very helpful to inspect the NLP subsolver log especially if the solver termination code is ???.

Default: 0

stage1_iterations (integer): number of iterations in stage 1

Specifies the total number of iterations in stage 1 of the algorithm, where no NLP solver calls are made. Increasing this sometimes leads to a better starting point for the first local solver call in stage 2, at the cost of delaying that call. Decreasing it can lead to more solver calls, but the first call occurs sooner.

Default: 200

threshold_increase_factor (real): factor to increase merit filter threshold

This value must be nonnegative. If there are merit_waitcycle consecutive MSNLP iterations where the merit filter logic causes the NLP solver not to be called, the merit threshold is increased by multiplying it by (1+threshold_increase_factor). The same applies to the distance_waitcycle.

Default: 0.2

use_distance_filter (boolean): distance filter

Use 0 to turn off the distance filter, the logic which starts the NLP solver at a trial point only if the (Euclidean) distance from that point to any local solution found thus far is greater than the distance threshold. Turning off the distance filter leads to more solver calls and more run time, and increases the chances of finding a global solution. Turn off both distance and merit filters to find (almost) all local solutions.

Default: 1

use_merit_filter (boolean): merit filter

Use 0 to turn off the merit filter, the logic which starts the NLP solver at a trial point only if the penalty function value at that point is below the merit threshold. This will lead to more solver calls, but increases the chances of finding a global solution. Turn off both filters if you want to find (almost) all local solutions. This will cause the solver to be called at each stage 2 iteration.

Default: 1

# Use as a Callable System

MSNLP is also available as a callable system. It currently uses the LSGRG2 or any GAMS NLP solver as its local solver. A sample calling program is available from Optimal Methods which a user can easily adapt. The user must provide a C function which computes values of the objective and all constraint functions, given current values of all variables. First partial derivatives of these functions can be approximated by forward or central differences, or may be computed in a user-provided function.

# Appendix

## Appendix A: Description of the Algorithm

A pseudo-code description of the MSNLP algorithm follows, in which SP $$(xt)$$ denotes the starting point generator and $$xt$$ is the candidate starting point produced. We refer to the local NLP solver as $$L(xs,xf)$$, where $$xs$$ is the starting point and $$xf$$ the final point. The function UPDATE LOCALS $$(xs,xf,w)$$ processes and stores solver output $$xf$$, using the starting point $$xs$$ to compute the distance from $$xs$$ to $$xf$$, and produces updated penalty weights, $$w$$. For more details, see [Lasdon, Plummer et al., 2004].

MSNLP Algorithm

STAGE 1

$$x_0$$ = user initial point

Call $$L(x_0, xf)$$

Call UPDATE LOCALS $$(x_0, xf, w)$$

FOR $$i = 1, n1$$ DO

Call SP $$(xt(i))$$

Evaluate P $$(xt(i),w)$$

ENDDO

$$xt^*$$ = point yielding best value of P $$(xt(i),w)$$ over all stage one points, $$(i = 1,2,...,n1)$$.

call $$L(xt^*,xf)$$

Call UPDATE LOCALS $$(xt^*,xf, w)$$

threshold = P $$(xt^*,w)$$

STAGE 2

FOR $$i = 1, n2$$ DO

Call SP $$(xt(i))$$

Evaluate P $$(xt(i),w)$$

Perform merit and distance filter tests:

Call distance filter( $$xt(i)$$, dstatus )

Call merit filter( $$xt(i)$$, threshold, mstatus )

IF (dstatus and mstatus = "accept") THEN

Call $$L(xt(i),xf)$$

Call UPDATE LOCALS $$(xt(i),xf, w)$$

ENDIF

ENDDO

After an initial call to $$L$$ at the user-provided initial point, $$x_0$$, stage 1 of the algorithm performs $$n1$$ iterations in which SP $$(xt)$$ is called, and the L1 exact penalty value P $$(xt,w)$$ is calculated. The user can set $$n1$$ through the MSNLP options file using the STAGE1_ITERATIONS keyword. The point with the smallest of these P values is chosen as the starting point for the next call to $$L$$, which begins stage 2. In this stage, $$n2$$ iterations are performed in which candidate starting points are generated and $$L$$ is started at any one which passes the distance and merit filter tests.

The distance filter helps insure that the starting points for $$L$$ are diverse, in the sense that they are not too close to any previously found local solution. Its goal is to prevent $$L$$ from starting more than once within the basin of attraction of any local optimum. When a local solution is found, it is stored in a linked list, ordered by its objective value, as is the Euclidean distance between it and the starting point that led to it. If a local solution is located more than once, the maximum of these distances, $$maxdist$$, is updated and stored. For each trial point, $$t$$, if the distance between $$t$$ and any local solution already found is less than DISTANCE_FACTOR* $$maxdist$$, $$L$$ is not started from the point, and we obtain the next trial solution from the generator.

This distance filter implicitly assumes that the attraction basins are spherical, with radii at least $$maxdist$$. The default value of DISTANCE_FACTOR is 1.0, and it can be set to any positive value in the MSNLP options file - see Section Output. As DISTANCE_FACTOR approaches zero, the filtering effect vanishes, as would be appropriate if there were many closely spaced local solutions. As it becomes larger than 1, the filtering effect increases until eventually $$L$$ is never started.

The merit filter helps insure that the starting points for $$L$$ have high quality, by not starting from candidate points whose exact penalty function value $$P_1$$ (see equation (5), Section Introduction) is greater than a threshold. This threshold is set initially to the $$P_1$$ value of the best candidate point found in the first stage of the algorithm. If trial points are rejected by this test for more than WAITCYCLE consecutive iterations, the threshold is increased by the updating rule:

threshold $$\leftarrow$$ threshold +THRESHOLD_INCREASE_FACTOR *(1.0+abs(threshold))

where the default value of THRESHOLD_INCREASE_FACTOR is 0.2 and that for WAITCYCLE is 20. The additive 1.0 term is included so that threshold increases by at least THRESHOLD_INCREASE_FACTOR when its current value is near zero. When a trial point is accepted by the merit filter, threshold is decreased by setting it to the $$P_1$$ value of that point.

The combined effect of these 2 filters is that $$L$$ is started at only a few percent of the trial points, yet global optimal solutions are found for a very high percentage of the test problems. However, the chances of finding a global optimum are increased by increasing ITERATION_LIMIT (which we recommend trying first) or by "loosening" either or both filters, although this is rarely necessary in our tests if the dynamic filters and basin overlap fix are used, as they are by default. If the ratio of stage 2 iterations to solver calls is more than 20 using the current filter parameters, and computation times with the default filter parameters are reasonable, you can try loosening the filters. This is achieved for the merit filter either by decreasing WAITCYCLE or by increasing THRESHOLD_INCREASE_FACTOR (or doing both), and for the distance filter by decreasing DISTANCE_FACTOR. Either or both filters may be turned off, by setting USE_DISTANCE_FILTER and/or USE_MERIT_FILTER to 0. Turning off both causes an NLP solver call at every stage 2 trial point. This is the best way to insure that all local optima are found, but it can take a long time.

## Appendix B: Pure and 'Smart' Random Drivers

The "pure" random (PR) driver generates uniformly distributed points within the hyper-rectangle $$S$$ defined by the variable bounds. However, this rectangle is often very large, because users often set bounds to $$(-\infty, +\infty), (0, +\infty)$$, or to large positive and/or negative numbers, particularly in problems with many variables. This usually has little adverse impact on a good local solver, as long as the starting point is chosen well inside the bounds. But the PR generator will often generate starting points with very large absolute component values when some bounds are very large, and this sharply degrades solver performance. Thus we were motivated to develop random generators which control the likelihood of generating candidate points with large components, and intensify the search by focusing points into promising regions. We present two variants, one using normal, the other triangular distributions. Pseudo-code for this "smart random" generator using normal distributions follows, where w is the set of penalty weights determined by the "update locals" logic discussed above, after the first solver call at the user-specified initial point.

Smart Random Generator with Normal Distributions, SRN $$(xt)$$

IF (first call) THEN

Generate $$k1$$ (default 400) diverse points in $$S$$ and evaluate the exact penalty function P $$(x,w)$$ at each point.

B=subset of $$S$$ with $$k2$$ (default 10) best P values

FOR i = 1,nvars DO

xmax(i) = max of component i of points in B

xmin(i)= min of component i of points in B

mu(i) = (xmax(i) + xmin(i))/2

ratio(i) = (xmax(i) - xmin(i))/(1+buvar(i)-blvar(i))

sigfactor = 2.0

IF (ratio > 0.7) sigfactor = f(ratio)

sigma(i) = (xmax(i) - xmin(i))/sigfactor

ENDDO

ENDIF

FOR i =1,nvars DO

Generate a normally distributed random variable rv(i) with mean mu(i) and standard deviation sigma(i)

If rv(i) is between blvar(i) and buvar(i), xt(i) = rv(i)

If rv(i) < blvar(i), generate xt(i) uniformly between blvar(i) and xmin(i)

If rv(i) < buvar(i), generate xt(i) uniformly between xmax(i) and buvar(i)

ENDDO

Return $$xt$$

This SRN generator attempts to find a subset, B, of $$k2$$ "good" points, and generates most of its trial points $$xt$$, within the smallest rectangle containing B. It first generates a set of $$k1$$ diverse points within the bounds using a stratified random sampling procedure with frequency-based memory. For each variable x $$(i)$$, this divides the interval [blvar(i), buvar(i)] into 4 equal segments, chooses a segment with probability inversely proportional to the frequency with which it has been chosen thus far, then generates a random point in this segment. We choose $$k2$$ of these points having the best P $$(x,w)$$ penalty values, and use the smallest rectangle containing these, intersecting the ith axis at points [xmin(i), xmax(i)], to define $$n$$ univariate normal distributions (driver SRN) or n univariate triangular distributions (driver SRT). The mean of the ith normal distribution, mu(i), is the midpoint of the interval [xmin(i), xmax(i)], and this point is also the mode of the $$i$$th triangular distribution, whose lower and upper limits are blvar(i) and buvar(i). The standard deviation of the $$i$$th normal distribution is selected as described below. The trial point $$xt$$ is generated by sampling $$n$$ times independently from these distributions. For the driver using normals, if the generated point lies within the bounds, it is accepted. Otherwise, we generate a uniformly distributed point between the violated bound and the start of the interval.

To determine the standard deviation of the normal distributions, we compute ratio, roughly the ratio of interval width to distance between bounds, where the factor 1.0 is included to avoid division by zero when the bounds are equal (fixed variables). If the interval width is small relative to the distance between bounds for variable $$i$$ (ratio $$\le$$ 0.7), then the standard deviation sigma( $$i$$) is half the interval width, so about 1/3 of the $$xt(i)$$ values fall outside the interval, providing diversity when the interval does not contain an optimal value for $$x(i)$$. If the bounds are large, then ratio should be small, say less than 0.1, so $$xt(i)$$ values near the bounds are very unlikely. If ratio $$>$$ 0.7, the function $$f$$ sets sigfactor equal to 2.56 if ratio is between 0.7 and 0.8, increasing in steps to 6.2 if ratio $$>$$ 0.999. Thus if ratio is near 1.0, more than 99% of the values fall within the interval, and few have to be projected back within the bounds. The projecting back process avoids undesirable clustering of trial points at a bound, by generating points uniformly between the violated bound and the nearest edge of the interval [xmin(i), xmax(i)]. When the interval [xmin(i), xmax(i)] is sharply skewed toward one of the variable bounds and is much narrower than the distance between the bounds, a symmetric distribution like the normal, combined with our projection procedure, generates too many points between the interval and its nearest bound. A quick scan of the test results indicates that this happens rarely, but an asymmetric distribution like the triangular overcomes this difficulty, and needs no projection.

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