Engineering topics

Mehrotra, Sanjay

Publications and source records attributed to Mehrotra, Sanjay.

8 records

DOE OSTI2017

Generation of feasible integer solutions on a massively parallel computer using the feasibility pump

Here, we present an approach to parallelize generation of feasible mixed integer solutions of mixed integerlinear programs in distributed memory high performance computing environments. This approachcombines a parallel framework with feasibility pump (FP) as the rounding heuristic. It runs multiple FPinstances with different starting solutions concurrently, while allowing them to share information. Ourcomputational results suggest that the improvement resulting from parallelization using our approach is statistically significant.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2016

Solution of monotone complementarity and general convex programming problems using a modified potential reduction interior point method

We present a homogeneous algorithm equipped with a modified potential function for the monotone complementarity problem. We show that this potential function is reduced by at least a constant amount if a scaled Lipschitz condition (SLC) is satisfied. A practical algorithm based on this potential function is implemented in a software package named iOptimize. The implementation in iOptimize maintains global linear and polynomial time convergence properties, while achieving practical performance. It either successfully solves the problem, or concludes that the SLC is not satisfied. When compared with the mature software package MOSEK (barrier solver version 6.0.0.106), iOptimize solves convex quadratic programming problems, convex quadratically constrained quadratic programming problems, and general convex programming problems in fewer iterations. Moreover, several problems for which MOSEK fails are solved to optimality. In addition, we also find that iOptimize detects infeasibility more reliably than the general nonlinear solvers Ipopt (version 3.9.2) and Knitro (version 8.0).

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2016

Final Technical Report: Sparse Grid Scenario Generation and Interior Algorithms for Stochastic Optimization in a Parallel Computing Environment

The support from this grant resulted in seven published papers and a technical report. Two papers are published in SIAM J. on Optimization [87, 88]; two papers are published in IEEE Transactions on Power Systems [77, 78]; one paper is published in Smart Grid [79]; one paper is published in Computational Optimization and Applications [44] and one in INFORMS J. on Computing [67]). The works in [44, 67, 87, 88] were funded primarily by this DOE grant. The applied papers in [77, 78, 79] were also supported through a subcontract from the Argonne National Lab. We start by presenting our main research results on the scenario generation problem in Sections 1–2. We present our algorithmic results on interior point methods for convex optimization problems in Section 3. We describe a new ‘central’ cutting surface algorithm developed for solving large scale convex programming problems (as is the case with our proposed research) with semi-infinite number of constraints in Section 4. In Sections 5–6 we present our work on two application problems of interest to DOE.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2016

Stochastic robust mathematical programming model for power system optimization

We present a stochastic robust framework for two-stage power system optimization problems with uncertainty. The model optimizes the probabilistic expectation of different worst-case scenarios with different uncertainty sets. In addition, a case study of unit commitment shows the effectiveness of the proposed model and algorithms.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2015

Scenario generation for stochastic optimization problems via the sparse grid method

We study the use of sparse grids in the scenario generation (or discretization) problem in stochastic programming problems where the uncertainty is modeled using a continuous multivariate distribution. We show that, under a regularity assumption on the random function involved, the sequence of optimal objective function values of the sparse grid approximations converges to the true optimal objective function values as the number of scenarios increases. The rate of convergence is also established. We treat separately the special case when the underlying distribution is an affine transform of a product of univariate distributions, and show how the sparse grid method can be adapted to the distribution by the use of quadrature formulas tailored to the distribution. We numerically compare the performance of the sparse grid method using different quadrature rules with classic quasi-Monte Carlo (QMC) methods, optimal rank-one lattice rules, and Monte Carlo (MC) scenario generation, using a series of utility maximization problems with up to 160 random variables. The results show that the sparse grid method is very efficient, especially if the integrand is sufficiently smooth. In such problems the sparse grid scenario generation method is found to need several orders of magnitude fewer scenarios than MC and QMC scenario generation to achieve the same accuracy. As a result, it is indicated that the method scales well with the dimension of the distribution--especially when the underlying distribution is an affine transform of a product of univariate distributions, in which case the method appears scalable to thousands of random variables.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2015

Robust Distribution Network Reconfiguration

We propose a two-stage robust optimization model for the distribution network reconfiguration problem with load uncertainty. The first-stage decision is to configure the radial distribution network and the second-stage decision is to find the optimal a/c power flow of the reconfigured network for given demand realization. We solve the two-stage robust model by using a column-and-constraint generation algorithm, where the master problem and subproblem are formulated as mixed-integer second-order cone programs. Computational results for 16, 33, 70, and 94-bus test cases are reported. We find that the configuration from the robust model does not compromise much the power loss under the nominal load scenario compared to the configuration from the deterministic model, yet it provides the reliability of the distribution system for all scenarios in the uncertainty set.

distribution network↗

DOE OSTI2014

A Cutting Surface Algorithm for Semi-Infinite Convex Programming with an Application to Moment Robust Optimization

In this paper, we present and analyze a central cutting surface algorithm for general semi-infinite convex optimization problems and use it to develop a novel algorithm for distributionally robust optimization problems in which the uncertainty set consists of probability distributions with given bounds on their moments. Moments of arbitrary order, as well as nonpolynomial moments, can be included in the formulation. We show that this gives rise to a hierarchy of optimization problems with decreasing levels of risk-aversion, with classic robust optimization at one end of the spectrum and stochastic programming at the other. Although our primary motivation is to solve distributionally robust optimization problems with moment uncertainty, the cutting surface method for general semi-infinite convex programs is also of independent interest. The proposed method is applicable to problems with nondifferentiable semi-infinite constraints indexed by an infinite dimensional index set. Examples comparing the cutting surface algorithm to the central cutting plane algorithm of Kortanek and No demonstrate the potential of our algorithm even in the solution of traditional semi-infinite convex programming problems, whose constraints are differentiable, and are indexed by an index set of low dimension. After the rate of convergence analysis of the cutting surface algorithm, we extend the authors' moment matching scenario generation algorithm to a probabilistic algorithm that finds optimal probability distributions subject to moment constraints. The combination of this distribution optimization method and the central cutting surface algorithm yields a solution to a family of distributionally robust optimization problems that are considerably more general than the ones proposed to date.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2014

Modeling transmission line constraints in two-stage robust unit commitment problem

Integration of renewable energy sources and demand response poses new challenges to system operators as they increase the uncertainty of the power supply and demand. Recently, robust optimization techniques are applied to the unit commitment problem with uncertainty as an alternative to the stochastic programming approaches. However, it remains challenging to solve the robust unit commitment model with full transmission line constraints. In this paper, we propose novel acceleration techniques for solving two-stage robust unit commitment problem with consideration of full transmission line constraints. We use 1) the cutting-plane algorithm for the master problem, which dynamically includes critical transmission line constraints, and 2) column-generation methods, including the branch-and-price-and-cut algorithm and heuristic approaches, for the subproblems, which add only necessary transmission line dual variables on the fly. Furthermore, computational results for the modified IEEE 118-bus system show that the combination of the cutting-plane algorithm and the heuristic column-generation approach greatly reduces the total solution time of the two-stage robust unit commitment problem.

Heuristic algorithms↗