Modified projected Gauss-Newton method for constrained nonlinear least-squares: application to power flow analysis

Abstract: In this paper, we consider a modified projected Gauss-Newton method for solving constrained nonlinear least-squares problems. We assume that the functional constraints are smooth and the the other constraints are represented by a simple closed convex set. We formulate the nonlinear least-squares problem as an optimization problem using the Euclidean norm as a merit function. In our method, at each iteration we linearize the functional constraints inside the merit function at the current point and add a quadratic regularization, yielding a strongly convex subproblem that is easy to solve, whose solution is the next iterate. We present global convergence guarantees for the proposed method under mild assumptions. In particular, we prove stationary point convergence guarantees and under Kurdyka-Lojasiewicz (KL) property for the objective function we derive convergence rates depending on the KL parameter. Finally, we show the efficiency of this method on the power flow analysis problem using several IEEE bus test cases.