Derivative-free bound-constrained optimization for solving structured problems with surrogate models
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Abstract We describe an algorithm based on a logarithmic barrier function, Newton’s method and linear conjugate gradients that seeks an approximate minimizer of a smooth function over the non-negative orthant. We develop a bound on the complexity of the approach, stated in terms of the required accuracy and the cost of a single gradient evaluation of the objective function and/or a matrix-vector multiplication involving the Hessian of the objective. The approach can be implemented without explicit calculation or storage of the Hessian.
For optimal power flow problems with chance constraints, a particularly effective method is based on a fixed point iteration applied to a sequence of deterministic power flow problems. However, a priori, the convergence of such an approach is not necessarily guaranteed. Here this article analyses the convergence conditions for this fixed point approach, and reports numerical experiments including for large IEEE networks.
This paper considers preconditioners for the linear systems that arise from optimal control and inverse problems involving the Helmholtz equation. Specifically, we explore an all-at-once approach. The main contribution centers on the analysis of two block preconditioners. Variations of these preconditioners have been proposed and analyzed in prior works for optimal control problems where the underlying partial differential equation is a Laplace-like operator. In this paper, we extend some of the prior convergence results to Helmholtz-based optimization applications. Our analysis examines situations where control variables and observations are restricted to subregions of the computational domain. We prove that solver convergence rates do not deteriorate as the mesh is refined or as the wavenumber increases. More specifically, for one of the preconditioners we prove accelerated convergence as the wavenumber increases. Additionally, in situations where the control and observation subregions are disjoint, we observe that solver convergence rates have a weak dependence on the regularization parameter. We give a partial analysis of this behavior. We illustrate the performance of the preconditioners on control problems motivated by acoustic testing.
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This project developed scalable, computationally efficient algorithms to solve realistic large-scale power system optimization problems as part of a larger series of competitions run by ARPA-E. These problems are important because the secure and reliable operation of the power grid, especially under increased uncertainty and variability, is growing increasingly challenging. The economic feasibility of the proposed methods developed by our team is quite low, considering it’s a purely software-based solution to operate power grids more efficiently. The technical effectiveness, as evidenced by our performance in the competition, balances heuristics and approximations to provide a tradeoff between speed and accuracy.
presenting at SIAM OP23 about our work on time parallel preconditioners.
Slides for presentation at a conference (Copper Mountain).
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