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Combined Penalty Multiplier Optimization Methods to Enforce Integral Invariants Conservation

I. M. NavonNational Research Institute for Mathematical Sciences, CSIR, P.O. Box 395, Pretoria 0001 South Africa

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R. de VilliersNational Research Institute for Mathematical Sciences, CSIR, P.O. Box 395, Pretoria 0001 South Africa

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Abstract

An augmented Lagrangian multiplier-penalty method is applied for the first time to solving the problem of enforcing simultaneous conservation of the nonlinear integral invariants of the shallow water equations on a limited-area domain. The method approximates the nonlinearly constrained minimization problem by solving a series of unconstrained minimization problems.

The computational efficiency and accuracy of the method is tested using two finite-difference solvers of the nonlinear shallow water equations on a β-plane. The method is also compared with a pure quadratic penalty approach. The updating of the Lagrangian multipliers and the penalty parameters is done using procedures suggested by Bertsekas. The method yielded satisfactory results in the conservation of the integral constraints while the additional CPU time required did not exceed 15% of the total CPU time spent on the numerical solution of the shallow water equations. The methods proved to be simple in their implementation and they have a broad scope of applicability to other problems involving nonlinear constraints; for instance, the variational nonlinear normal mode initialization.

Abstract

An augmented Lagrangian multiplier-penalty method is applied for the first time to solving the problem of enforcing simultaneous conservation of the nonlinear integral invariants of the shallow water equations on a limited-area domain. The method approximates the nonlinearly constrained minimization problem by solving a series of unconstrained minimization problems.

The computational efficiency and accuracy of the method is tested using two finite-difference solvers of the nonlinear shallow water equations on a β-plane. The method is also compared with a pure quadratic penalty approach. The updating of the Lagrangian multipliers and the penalty parameters is done using procedures suggested by Bertsekas. The method yielded satisfactory results in the conservation of the integral constraints while the additional CPU time required did not exceed 15% of the total CPU time spent on the numerical solution of the shallow water equations. The methods proved to be simple in their implementation and they have a broad scope of applicability to other problems involving nonlinear constraints; for instance, the variational nonlinear normal mode initialization.

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