Results for “Robust optimization”

DOE OSTI2023

Residuals-based distributionally robust optimization with covariate information

We consider data-driven approaches that integrate a machine learning prediction model within distributionally robust optimization (DRO) given limited joint observations of uncertain parameters and covariates. Our framework is flexible in the sense that it can accommodate a variety of regression setups and DRO ambiguity sets. We investigate asymptotic and finite sample properties of solutions obtained using Wasserstein, sample robust optimization, and phi-divergence-based ambiguity sets within our DRO formulations, and explore cross-validation approaches for sizing these ambiguity sets. Through numerical experiments, we validate our theoretical results, study the effectiveness of our approaches for sizing ambiguity sets, and illustrate the benefits of our DRO formulations in the limited data regime even when the prediction model is misspecified.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2022

BROOD: Bilevel and Robust Optimization and Outlier Detection for Efficient Tuning of High-Energy Physics Event Generators

The parameters in Monte Carlo (MC) event generators are tuned on experimental measurements by evaluating the goodness of fit between the data and the MC predictions. The relative importance of each measurement is adjusted manually in an often time-consuming, iterative process to meet different experimental needs. In this work, we introduce several optimization formulations and algorithms with new decision criteria for streamlining and automating this process. These algorithms are designed for two formulations: bilevel optimization and robust optimization. Both formulations are applied to the datasets used in the ATLAS A14 tune and to the dedicated hadronization datasets generated by the SHERPA generator, respectively. The corresponding tuned generator parameters are compared using three metrics. We compare the quality of our automatic tunes to the published ATLAS A14 tune. Moreover, we analyze the impact of a pre-processing step that excludes data that cannot be described by the physics models used in the MC event generators.

72 PHYSICS OF ELEMENTARY PARTICLES AND FIELDS↗

DOE OSTI2024

Revealing Decision Conservativeness Through Inverse Distributionally Robust Optimization

This paper introduces Inverse Distributionally Robust Optimization (I-DRO) as a method to infer the conservativeness level of a decision-maker, represented by the size of a Wasserstein metric-based ambiguity set, from the optimal decisions made using Forward Distributionally Robust Optimization (F-DRO). By leveraging the Karush-Kuhn-Tucker (KKT) conditions of the convex F-DRO model, we formulate I-DRO as a bi-linear program, which can be solved using off-the-shelf optimization solvers. Additionally, this formulation exhibits several advantageous properties. We demonstrate that I-DRO not only guarantees the existence and uniqueness of an optimal solution but also establishes the necessary and sufficient conditions for this optimal solution to accurately match the actual conservativeness level in F-DRO. Furthermore, we identify three extreme scenarios that may impact I-DRO effectiveness. Our case study applies F-DRO for power system scheduling under uncertainty and employs I-DRO to recover the conservativeness level of system operators. Numerical experiments based on an IEEE 5-bus system and a realistic NYISO 11-zone system demonstrate I-DRO performance in both normal and extreme scenarios. An extended version of this paper with additional analyses is available at li2024revealing.

distributionally robust optimization↗

DOE OSTI2022

A multistage distributionally robust optimization approach to water allocation under climate uncertainty

This paper investigates a Multistage Distributionally Robust Optimization (MDRO) approach to water allocation under climate uncertainty. The MDRO is formed by creating sets of conditional distributions (called conditional ambiguity sets) on a finite scenario tree. The distributions in the conditional ambiguity sets remain close to a nominal conditional distribution according a ø-divergence (e.g., Kullback-Leibler divergence, Hellinger distance, Burg entropy, etc.). Here, the paper discusses a decomposition algorithm to solve the resulting MDRO with ø-divergences, which uses the dual formulation and solves only linear subproblems instead of convex ones. Some properties of the algorithm such as generating feasible policies and valid upper/lower bounds are established. The paper then applies the modeling and solution techniques to allocate water in a rapidly-developing area of Tucson, Arizona. Tucson, like many arid and semi-arid regions around the world, faces considerable uncertainty in its ability to provide water for its citizens in the future. The primary sources of uncertainty in the Tucson region include (1) unpredictable population growth, (2) the availability of water from the Colorado River, and (3) the effects of climate variability on water consumption. This paper integrates forecasts for all these sources of uncertainty into a single optimization model for robust and sustainable water allocation. Then, it uses this model to analyze the value of constructing additional treatment facilities to reduce future water shortages. The results indicate that the MDRO approach can be very valuable for water managers by providing insights to minimize their risks and help them plan for the future.

54 ENVIRONMENTAL SCIENCES↗

DOE OSTI2026

Robust Optimal Experimental Design of Infinite-Dimensional Bayesian Nonlinear Inverse Problems

Abstract. We consider robust optimal experimental design (ROED) for nonlinear Bayesian inverse problems governed by partial differential equations (PDEs). An optimal design is one that maximizes some utility quantifying the quality of the solution of an inverse problem. However, the optimal design is dependent on elements of the inverse problem such as the simulation model, the prior, or the measurement error model. ROED aims to produce an optimal design that is aware of the additional uncertainties encoded in the inverse problem and remains optimal even after variations in them. We follow a worst-case scenario approach to develop a new framework for robust optimal design of nonlinear Bayesian inverse problems. The proposed framework (a) is scalable and designed for infinite-dimensional Bayesian nonlinear inverse problems constrained by PDEs; (b) develops efficient approximations of the utility, namely the expected information gain; (c) employs eigenvalue sensitivity techniques to develop analytical forms and efficient evaluation methods of the gradient of the utility with respect to the uncertainties against which we wish to be robust; and (d) employs a probabilistic optimization paradigm that properly defines and efficiently solves the resulting combinatorial max-min optimization problem. The effectiveness of the proposed approach is illustrated for optimal sensor placement problem in an inverse problem governed by an elliptic PDE.

Chowdhary, Abhijit↗

DOE OSTI2022

Residuals-based distributionally robust optimization with covariate information

We consider data-driven approaches that integrate a machine learning prediction model within distributionally robust optimization (DRO) given limited joint observations of uncertain parameters and covariates. Our framework is flexible in the sense that it can accommodate a variety of regression setups and DRO ambiguity sets. We investigate asymptotic and finite sample properties of solutions obtained using Wasserstein, sample robust optimization, and phi-divergence-based ambiguity sets within our DRO formulations, and explore cross-validation approaches for sizing these ambiguity sets. Through numerical experiments, we validate our theoretical results, study the effectiveness of our approaches for sizing ambiguity sets, and illustrate the benefits of our DRO formulations in the limited data regime even when the prediction model is misspecified.

97 MATHEMATICS AND COMPUTING↗

DOE OSTI2020

Optimal PV Inverter Control in Distribution Systems via Data-Driven Distributionally Robust Optimization

Distribution systems with high penetration of uncertain solar generation call for advanced control strategies of photovoltaics (PVs) inverters. This paper proposes a data-driven distributionally robust optimization (DDDRO) approach to optimally controlling the PV inverters to improve the system operation performance under solar power uncertainties. In the proposed DDDRO approach, a Wasserstein ball-based method is proposed to construct the distributional ambiguity set to model the uncertainties of PV generation through partial observations of historical data without knowing exact probability distributions. We further reformulate the computationally intractable DDDRO model to a mixed integer second order cone programming (MISOCP) problem. The effectiveness and out-of-sample performance of the proposed approach have been demonstrated on a modified IEEE 33-node system. We conduct a comparative study to compare the proposed method with traditional chance constrained programming (CCP). It shows that the proposed DDDRO approach can provide a less conservative yet robust solution to minimize the worse-case expectation of the total network loss while maintaining nodal voltages in a secure range.

Xue, Yaosuo↗

DOE OSTI2024

Recent Advances of PyROS: A Pyomo Solver for Nonconvex Two-Stage Robust Optimization in Process Systems Engineering

This poster highlights uncertainty and technical risk reduction capabilities in CCSI2, with a focus on robust optimization. It presents recent advances of the two-stage robust optimization (RO) solver PyROS and applications to advanced energy systems optimization. To demonstrate the computational performance and reliability of PyROS, a benchmarking study on a library of over 8,500 small-scale RO problems is presented. Further, PyROS is used to obtain robust system designs of a MEA-based CO2 absorber under uncertainty in the thermodynamic property models for a variety of CO2 capture rate threshold requirements. Overall, the results demonstrate that the PyROS solver, including recent extensions to multi-stage RO settings, provides a reliable avenue to optimize the design and operation of advanced energy systems subject to various sources of parametric uncertainty.

Sherman, Jason↗

DOE OSTI2024

Recent Advances of PyROS: A Pyomo Solver for Nonconvex Two-Stage Robust Optimization in Process Systems Engineering

This poster highlights uncertainty and technical risk reduction capabilities in CCSI2, with a focus on robust optimization. It presents recent advances of the two-stage robust optimization (RO) solver PyROS and applications to advanced energy systems optimization. To demonstrate the computational performance and reliability of PyROS, a benchmarking study on a library of over 8,500 small-scale RO problems is presented. Further, PyROS is used to obtain robust system designs of a MEA-based CO2 absorber under uncertainty in the thermodynamic property models for a variety of CO2 capture rate threshold requirements. Overall, the results demonstrate that the PyROS solver, including recent extensions to multi-stage RO settings, provides a reliable avenue to optimize the design and operation of advanced energy systems subject to various sources of parametric uncertainty.

Sherman, Jason↗

DOE OSTI2022

Robust Optimization for the Day-Ahead Scheduling of Cascaded Hydroelectric Systems

Uncertain electricity prices resulting from the re-structuring of electricity market have brought new opportu-nities and challenges for hydroelectric producers. This paper presents a data-driven robust optimization approach for the day-ahead scheduling of cascaded hydroelectric systems (CHS) with electricity price uncertainty. In this paper, a minimum volume enclosing ellipsoid (MVEE) is adopted to construct an ellipsoidal uncertainty set that fully identifies and exploits the historical characteristics data. Here, a second-order conic optimization formulation of the robust counterpart is derived for efficient computation. A real-world case study is conducted to demonstrate the capability of the proposed optimization approach compared with the traditional robust optimization approach.

13 HYDRO ENERGY↗

DOE OSTI2023

Recent Advances in PyROS: The Pyomo Solver for Two-Stage Nonconvex Robust Optimization

The slides present recent algorithmic and implementation advances of the two-stage robust optimization (RO) solver PyROS, and a benchmarking study which demonstrates the utility of PyROS for two-stage RO problems. The advances include extensions of the scope of PyROS to models with uncertain variable bounds, improvements to the initializations of the subproblems used by the underlying cutting set algorithm, and extensions of the uncertainty set interfaces. The benchmarking study is performed on a library of over 8,500 instances, with variations in the nonlinearities, degree-of-freedom partitioning, uncertainty sets, and polynomial decision rule approximations. Overall, the results highlight the effectiveness of PyROS for obtaining robust solutions to optimization problems with uncertain equality constraints.

Sherman, Jason↗

DOE OSTI2023

Recent Advances in PyROS: The Pyomo Solver for Two-Stage Nonconvex Robust Optimization

The slides present recent algorithmic and implementation advances of the two-stage robust optimization (RO) solver PyROS, and a benchmarking study which demonstrates the utility of PyROS for two-stage RO problems. The advances include extensions of the scope of PyROS to models with uncertain variable bounds, improvements to the initializations of the subproblems used by the underlying cutting set algorithm, and extensions of the uncertainty set interfaces. The benchmarking study is performed on a library of over 8,500 instances, with variations in the nonlinearities, degree-of-freedom partitioning, uncertainty sets, and polynomial decision rule approximations. Overall, the results highlight the effectiveness of PyROS for obtaining robust solutions to optimization problems with uncertain equality constraints.

Sherman, Jason↗

DOE OSTI2022

A Lagrangian dual method for two-stage robust optimization with binary uncertainties

This report presents a new exact method to calculate worst-case parameter realizations in two-stage robust optimization problems with categorical or binary-valued uncertain data. Traditional exact algorithms for these problems, notably Benders decomposition and column-and-constraint generation, compute worst-case parameter realizations by solving mixed-integer bilinear optimization subproblems. However, their numerical solution can be computationally expensive not only due to their resulting large size after reformulating the bilinear terms, but also because decision-independent bounds on their variables are typically unknown. We propose an alternative Lagrangian dual method that circumvents these difficulties and is readily integrated in either algorithm. We specialize the method to problems where the binary parameters switch on or off constraints as these are commonly encountered in applications, and discuss extensions to problems that lack relatively complete recourse and to those with integer recourse. Numerical experiments provide evidence of significant computational improvements over existing methods.

42 ENGINEERING↗

DOE OSTI2024

Recent Advances of PyROS: A Pyomo Solver for Nonconvex Two-Stage Robust Optimization in Process Systems Engineering

The document presents recent algorithmic and implementation advances of the two-stage robust optimization (RO) solver PyROS, and a benchmarking study which demonstrates the utility of PyROS for two-stage RO problems. The advances include extensions of the scope of PyROS to models with uncertain variable bounds, improvements to the initializations of the subproblems used by the underlying cutting set algorithm, and extensions of the uncertainty set interfaces. The benchmarking study is performed on a library of over 8,500 instances, with variations in the nonlinearities, degree-of-freedom partitioning, uncertainty sets, and polynomial decision rule approximations. An amine-based CO2 capture case study is presented to demonstrate the utility of PyROS for large-scale process models. Overall, the results highlight the effectiveness of PyROS for obtaining robust solutions to optimization problems with uncertain equality constraints.

Sherman, Jason↗

DOE OSTI2023

Nonconvex Two-Stage Robust Optimization of an Amine-Based CO2 Capture System

These summary slides highlight uncertainty and technical risk reduction capabilities in CCSI2, with a focus on robust optimization. PyROS is used to obtain robust system designs of a MEA-based CO2 absorber under uncertainty in the thermodynamic property models for a variety of CO2 capture rate threshold requirements.

Sherman, Jason↗

DOE OSTI2023

Nonconvex Two-Stage Robust Optimization of an Amine-Based CO2 Capture System

This 20-minute presentation will highlight uncertainty and technical risk reduction capabilities in CCSI2, with a focus on robust optimization. PyROS is used to obtain robust system designs of a MEA-based CO2 absorber under uncertainty in the thermodynamic property models for a variety of CO2 capture rate threshold requirements.

Sherman, Jason↗

DOE OSTI2024

Nonconvex Robust Optimization for the Design and Operation of Advanced Energy Systems Using PyROS

This work discusses recent advances of the two-stage robust optimization (RO) solver PyROS and applications to advanced energy systems optimization. To demonstrate the computational performance and reliability of PyROS, a study on a monoethanolamine (MEA)-based CO2 absorption flowsheet is presented. (Near-)robust feasible designs for CO2 absorption flowsheet at high carbon capture are obtained with the PyROS solver. The results demonstrate that the PyROS solver, including recent extensions to multi-stage RO settings, provides a reliable avenue to optimize the design and operation of advanced energy systems subject to various sources of parametric uncertainty.

Sherman, Jason↗

DOE OSTI2024

A Distributionally Robust Optimization Framework for Stochastic Assessment of Power System Flexibility in Economic Dispatch

Given the complexity of power systems, particularly the high-dimensional variability of net loads, accurately depicting the entire operational range of net loads poses a challenge. To address this, recent methodologies have sought to gauge the maximum range of net load uncertainty across all buses. In this paper, we consider the stochastic nature of the net load and introduce a distributionally robust optimization framework that assesses system flexibility stochastically, accommodating a minimal extent of system violations. We verify the proposed method by solving the flexibility of the economic dispatch problem on four distinct IEEE standard test systems. Compared to traditional deterministic flexibility evaluations, our approach consistently yields less conservative flexibility outcomes.

distributionally robust optimization↗