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Polyhedral approximation in mixed-integer convex optimization

Generalizing both mixed-integer linear optimization and convex optimization, mixed-integer convex optimization possesses broad modeling power but has seen relatively few advances in general-purpose solvers in recent years. Here, we intend to provide a broadly accessible introduction to our recent work in developing algorithms and software for this problem class. Our approach is based on constructing polyhedral outer approximations of the convex constraints, resulting in a global solution by solving a finite number of mixed-integer linear and continuous convex subproblems. The key advance we present is to strengthen the polyhedral approximations by constructing them in a higher-dimensional space. In order to automate this extended formulation we rely on the algebraic modeling technique of disciplined convex programming (DCP), and for generality and ease of implementation we use conic representations of the convex constraints. Although our framework requires a manual translation of existing models into DCP form, after performing this transformation on the MINLPLIB2 benchmark library we were able to solve a number of unsolved instances and on many other instances achieve superior performance compared with state-of-the-art solvers like Bonmin, SCIP, and Artelys Knitro.

97 MATHEMATICS AND COMPUTING↗

Optimal Power Flow of Radial Networks and Its Variations: A Sequential Convex Optimization Approach

This paper proposes a sequential convex optimization method to solve broader classes of optimal power flow (OPF) problems over radial networks. The non-convex branch power flow equation is decomposed as a second-order cone inequality and a non-convex constraint involving the difference of two convex functions. Provided with an initial solution offered by an inexact second-order cone programming relaxation model, this approach solves a sequence of convexified penalization problems, where concave terms are approximated by linear functions and updated in each iteration. It could recover a feasible power flow solution, which usually appears to be very close, if not equal, to the global optimal one. Two variations of the OPF problem, in which non-cost related objectives are optimized subject to power flow constraints and the convex relaxation is generally inexact, are elaborated in detail. One is the maximum loadability problem, which is formulated as a special OPF problem that seeks the maximal distance to the boundary of power flow insolvability. The proposed method is shown to outperform commercial nonlinear solvers in terms of robustness and efficiency. The other is the bi-objective OPF problem. A non-parametric scalarization model is suggested, and is further reformulated as an extended OPF problem by convexifying the objective function. It provides a single trade-off solution without any subjective preference. The proposed computation framework also helps retrieve the Pareto front of the bi-objective OPF via the e-constraint method or the normal boundary intersection method. This paper also discusses extensions for OPF problems over meshed networks based on the semidefinite programming relaxation method.

bi-objective optimization↗

Convex Optimization with Smart Grid Examples

In this talk, we give an overview of the field of convex optimization and work through four canonical problems that relate to electrical power systems and smart grids. The purpose of these examples is to demonstrate the breadth of applications of convex optimization in energy research and to show that toy versions of these problems can be solved in just a few lines of code, indicating the scale and complexity of problems that can be tackled with a more detailed treatment. We emphasize the cvxpy modeling language as a foundational technology that enables rapid development and prototyping of convex optimization problems, allowing researchers to focus on model development rather than get caught in the weeds of numerical and code implementation.

24 POWER TRANSMISSION AND DISTRIBUTION↗

Using Convex Optimization to Efficiently Apportion Tracer and Pollutant Sources From Point Concentration Observations

Abstract Rivers transport elements, minerals, chemicals, and pollutants produced in their upstream basins. A sample from a river is a mixture of all of its upstream sources, making it challenging to pinpoint the contribution from each individual source. Here, we show how a nested sample design and convex optimization can be used to efficiently unmix downstream samples of a well‐mixed, conservative tracer in a steady state system into the contributions of their upstream sources. Our approach is significantly faster than previous methods. We represent the river's sub‐catchments, defined by sampling sites, using a directed acyclic graph. This graph is used to build a convex optimization problem which, thanks to its convexity, can be quickly solved to global optimality—in under a second on desktop hardware for data sets of ∼100 samples or fewer. Uncertainties in the upstream predictions can be generated using Monte Carlo resampling. We provide an open‐source implementation of this approach in Python. The inputs required are straightforward: a table containing sample locations and observed tracer concentrations, along with a D8 flow‐direction raster map. As a case study, we use this method to map the elemental geochemistry of sediment sources for rivers draining the Cairngorms mountains, UK. This method could be extended to non‐conservative and non‐steady state tracers. We also show, theoretically, how multiple tracers could be simultaneously inverted to recover upstream run‐off or erosion rates as well as source concentrations. Overall, this approach can provide valuable insights to researchers in various fields, including water quality, geochemical exploration, geochemistry, hydrology, and wastewater epidemiology.

Barnes, Richard↗

Convex Optimization of Integrated Power-Gas Energy Flow Model With Applications to Probabilistic Energy Flow

Energy flow calculation is a fundamental problem of the integrated power and gas system (IPGS) operation and planning. However, the nonlinear gas flow model introduces major challenges to the energy flow calculation. In this paper, we propose a tractably convex optimization model to solve the energy flow problem in IPGSs. It is demonstrated that the proposed optimization model has the same optimal solution as the original nonlinear steady energy flow model. Also, piecewise linearization is adopted to tightly linearize the nonlinear objective function of the model, which transforms the formulated convex optimization into a linear program one. Thus, the computation complexity of the proposed energy flow model is significantly reduced as compared with the existing methods. In addition, the proposed model can be extended to probabilistic energy flow estimation. Extensive case studies are conducted to validate the effectiveness of the proposed energy flow model using three IPGSs.

42 ENGINEERING↗

TH-EF-BRB-05: 4pi Non-Coplanar IMRT Beam Angle Selection by Convex Optimization with Group Sparsity Penalty

Purpose: Integrated beam orientation and fluence map optimization is expected to be the foundation of robust automated planning but existing heuristic methods do not promise global optimality. We aim to develop a new method for beam angle selection in 4π non-coplanar IMRT systems based on solving (globally) a single convex optimization problem, and to demonstrate the effectiveness of the method by comparison with a state of the art column generation method for 4π beam angle selection. Methods: The beam angle selection problem is formulated as a large scale convex fluence map optimization problem with an additional group sparsity term that encourages most candidate beams to be inactive. The optimization problem is solved using an accelerated first-order method, the Fast Iterative Shrinkage-Thresholding Algorithm (FISTA). The beam angle selection and fluence map optimization algorithm is used to create non-coplanar 4π treatment plans for several cases (including head and neck, lung, and prostate cases) and the resulting treatment plans are compared with 4π treatment plans created using the column generation algorithm. Results: In our experiments the treatment plans created using the group sparsity method meet or exceed the dosimetric quality of plans created using the column generation algorithm, which was shown superior to clinical plans. Moreover, the group sparsity approach converges in about 3 minutes in these cases, as compared with runtimes of a few hours for the column generation method. Conclusion: This work demonstrates the first non-greedy approach to non-coplanar beam angle selection, based on convex optimization, for 4π IMRT systems. The method given here improves both treatment plan quality and runtime as compared with a state of the art column generation algorithm. When the group sparsity term is set to zero, we obtain an excellent method for fluence map optimization, useful when beam angles have already been selected. NIH R43CA183390, NIH R01CA188300, Varian Medical Systems; Part of this research took place while D. O’Connor was a summer intern at RefleXion Medical.

60 APPLIED LIFE SCIENCES↗

A class of customized proximal point algorithms for linearly constrained convex optimization

In this paper, we propose a class of customized proximal point algorithms for linearly constrained convex optimization problems. The algorithms are implementable, provided that the proximal operator of the objective function is easy to evaluate. We show that, with special setting of the algorithmic scalar, our algorithms contain the customized proximal point algorithm (He et al., Optim Appl 56:559–572, 2013), the linearized augmented Lagrangian method (Yang and Yuan, Math Comput 82:301–329, 2013), the Bregman Operator Splitting algorithm (Zhang et al., SIAM J Imaging Sci 3:253–276, 2010) as special cases. The global convergence and worst-case convergence rate measured by the iteration complexity are established for the proposed algorithms. Numerical results demonstrate that the algorithms work well for a wide range of the scalar.

97 MATHEMATICS AND COMPUTING↗

Convex optimization of contour deformations

We discuss various formal aspects of contour deformations used to alleviate sign problems; most importantly, relating these contour deformations to a certain convex optimization problem. As a consequence of this connection we describe a general method for proving upper bounds on the average phase achievable by the contour deformation method. Using this method we show that Abelian lattice Yang-Mills in two spacetime dimensions possesses, for many values of the complex coupling, an exponential sign problem that cannot be removed via any contour deformation. Published by the American Physical Society 2024

72 PHYSICS OF ELEMENTARY PARTICLES AND FIELDS↗

Online Primal-Dual Methods With Measurement Feedback for Time-Varying Convex Optimization

This paper addresses the design and analysis of feedback-based online algorithms to control systems or networked systems based on performance objectives and engineering constraints that may evolve over time. The emerging timevarying convex optimization formalism is leveraged to model optimal operational trajectories of the systems, as well as explicit local and network-level operational constraints. Departing from existing batch and feed-forward optimization approaches, the design of the algorithms capitalizes on an online implementation of primal-dual projected-gradient methods; the gradient steps are, however, suitably modified to accommodate feedback from the system in the form of measurements - hence, the term 'online optimization with feedback.' By virtue of this approach, the resultant algorithms can cope with model mismatches in the algebraic representation of the system states and outputs, they avoid pervasive measurements of exogenous inputs, and they naturally lend themselves to a distributed implementation. Under suitable assumptions, analytical convergence claims are established in terms of dynamic regret. Furthermore, when the synthesis of the feedback-based online algorithms is based on a regularized Lagrangian function, Q-linear convergence to solutions of the time-varying optimization problem is shown.

97 MATHEMATICS AND COMPUTING↗

Online Convex Optimization of Programmable Quantum Computers to Simulate Time-Varying Quantum Channels

Simulating quantum channels is a fundamental primitive in quantum computing, since quantum channels define general (trace-preserving) quantum operations. An arbitrary quantum channel cannot be exactly simulated using a finite-dimensional programmable quantum processor, making it important to develop optimal approximate simulation techniques. In this paper, we study the challenging setting in which the channel to be simulated varies adversarially with time. We propose the use of matrix exponentiated gradient descent (MEGD), an online convex optimization method, and analytically show that it achieves a sublinear regret in time. Through experiments, we validate the main results for time-varying dephasing channels using a programmable generalized teleportation processor.

97 MATHEMATICS AND COMPUTING↗

Automated bone segmentation from dental CBCT images using patch-based sparse representation and convex optimization

Purpose: Cone-beam computed tomography (CBCT) is an increasingly utilized imaging modality for the diagnosis and treatment planning of the patients with craniomaxillofacial (CMF) deformities. Accurate segmentation of CBCT image is an essential step to generate three-dimensional (3D) models for the diagnosis and treatment planning of the patients with CMF deformities. However, due to the poor image quality, including very low signal-to-noise ratio and the widespread image artifacts such as noise, beam hardening, and inhomogeneity, it is challenging to segment the CBCT images. In this paper, the authors present a new automatic segmentation method to address these problems. Methods: To segment CBCT images, the authors propose a new method for fully automated CBCT segmentation by using patch-based sparse representation to (1) segment bony structures from the soft tissues and (2) further separate the mandible from the maxilla. Specifically, a region-specific registration strategy is first proposed to warp all the atlases to the current testing subject and then a sparse-based label propagation strategy is employed to estimate a patient-specific atlas from all aligned atlases. Finally, the patient-specific atlas is integrated into amaximum a posteriori probability-based convex segmentation framework for accurate segmentation. Results: The proposed method has been evaluated on a dataset with 15 CBCT images. The effectiveness of the proposed region-specific registration strategy and patient-specific atlas has been validated by comparing with the traditional registration strategy and population-based atlas. The experimental results show that the proposed method achieves the best segmentation accuracy by comparison with other state-of-the-art segmentation methods. Conclusions: The authors have proposed a new CBCT segmentation method by using patch-based sparse representation and convex optimization, which can achieve considerably accurate segmentation results in CBCT segmentation based on 15 patients.

62 RADIOLOGY AND NUCLEAR MEDICINE↗

Real-time control of connected vehicles in signalized corridors using pseudospectral convex optimization

Recent advances in Connected and Automated Vehicle (CAV) technologies have opened up new opportunities to enable safe, efficient, and sustainable transportation systems. However, developing reliable and rapid speed control algorithms in highly dynamic environments with complex inter-vehicle interactions and nonlinear vehicle dynamics is still a daunting task. In this paper, we develop a novel speed control method for CAVs to produce optimal speed profiles that minimize the fuel consumption and avoid idling at signalized intersections. To this end, an optimal control problem is formulated using the information of the upcoming traffic signal to adapt vehicles' speeds to avoid frequent stop-and-go driving patterns. Here, by applying the pseudospectral discretization method and the sequential convex programming method, the computational efficiency is greatly improved, enabling potential real-time on-vehicle applications. In addition, the algorithm is implemented under a model predictive control framework to ensure online control with instant response for collision avoidance and robust vehicle coordination. The proposed algorithm is verified through numerical simulations of three different traffic scenarios. The convergence and accuracy of the proposed approach are demonstrated by comparing with a popular nonlinear solver. Furthermore, the benefit of the proposed method in both traffic mobility and fuel efficiency is validated using the speed profile determined from a traffic following model in a simulation software as the baseline.

42 ENGINEERING↗

A Smoothed Augmented Lagrangian Framework for Convex Optimization with Nonsmooth Constraints

Augmented Lagrangian (AL) methods have proven remarkably useful in solving optimization problems with complicated constraints. The last decade has seen the development of overall complexity guarantees for inexact AL variants. Yet, a crucial gap persists in addressing nonsmooth convex constraints. To this end, we present a smoothed augmented Lagrangian (AL) framework where nonsmooth terms are progressively smoothed with a smoothing parameter $\eta _k$ . The resulting AL subproblems are $\eta _k$ -smooth, allowing for leveraging accelerated schemes. By a careful selection of the inexactness level $\epsilon _k$ (for inexact subproblem resolution), the penalty parameter $\rho _k$ , and smoothing parameter $\eta _k$ at epoch k, we derive rate and complexity guarantees of $\tilde{\mathcal {O}}(1/{\varepsilon }^{3/2})$ and $\tilde{\mathcal {O}}(1/{\varepsilon })$ in convex and strongly convex regimes for computing an ${\varepsilon }$ -optimal solution, when $\rho _k$ increases at a geometric rate, a significant improvement over the best available guarantees for AL schemes for convex programs with nonsmooth constraints. Analogous guarantees are developed for settings with $\rho _k = \rho$ as well as $\eta _k = \eta$ . Preliminary numerics on a fused Lasso problem display promise.

augmented Lagrangian↗

Pseudospectral convex optimization for on-ramp merging control of connected vehicles

It can be a daunting task for human drivers to merge into highways because of the intricate vehicle negotiations and potential risk within limited time and space. Connected vehicle (CV) technologies could be a solution to this problem and offer many benefits to the road safety, traffic mobility, and energy efficiency. However, real-time optimal control of CVs is still an open challenge, due to the nonlinear vehicle dynamics, non-convex fuel consumption model, and highly dynamic uncertain inter-vehicle interactions. To tackle these issues, a novel real-time optimal control approach that balances the computational efficiency and solution optimality is proposed for the purpose of onboard application. To this end, the pseudospectral collocation method is integrated with a sequential convex programming approach to develop two new optimization algorithms, which are implemented within a model predictive control (MPC) framework to allow for real-time generation of optimal merging speed profiles. One algorithm leverages the line search technique to improve convergence, and the other benefits from the trust region method for better computational efficiency. The optimality and convergence process of both proposed algorithms are investigated by comparing their solutions with a popular non-linear solver. Furthermore, simulation results show that the proposed methods outperform the benchmark in terms of computational cost, fuel consumption, and traffic efficiency. In particular, the proposed fuel-economy merging rule can save 57.1% fuel consumption on average on four different traffic volumes. Meanwhile, the proposed optimal control algorithms can reduce 2.2% travel time on average comparing to the “first-in-first-out” merging rule.

33 ADVANCED PROPULSION SYSTEMS↗

WE-AB-209-07: Explicit and Convex Optimization of Plan Quality Metrics in Intensity-Modulated Radiation Therapy Treatment Planning

Purpose: To formulate objective functions of a multicriteria fluence map optimization model that correlate well with plan quality metrics, and to solve this multicriteria model by convex approximation. Methods: In this study, objectives of a multicriteria model are formulated to explicitly either minimize or maximize a dose-at-volume measure. Given the widespread agreement that dose-at-volume levels play important roles in plan quality assessment, these objectives correlate well with plan quality metrics. This is in contrast to the conventional objectives, which are to maximize clinical goal achievement by relating to deviations from given dose-at-volume thresholds: while balancing the new objectives means explicitly balancing dose-at-volume levels, balancing the conventional objectives effectively means balancing deviations. Constituted by the inherently non-convex dose-at-volume measure, the new objectives are approximated by the convex mean-tail-dose measure (CVaR measure), yielding a convex approximation of the multicriteria model. Results: Advantages of using the convex approximation are investigated through juxtaposition with the conventional objectives in a computational study of two patient cases. Clinical goals of each case respectively point out three ROI dose-at-volume measures to be considered for plan quality assessment. This is translated in the convex approximation into minimizing three mean-tail-dose measures. Evaluations of the three ROI dose-at-volume measures on Pareto optimal plans are used to represent plan quality of the Pareto sets. Besides providing increased accuracy in terms of feasibility of solutions, the convex approximation generates Pareto sets with overall improved plan quality. In one case, the Pareto set generated by the convex approximation entirely dominates that generated with the conventional objectives. Conclusion: The initial computational study indicates that the convex approximation outperforms the conventional objectives in aspects of accuracy and plan quality.

60 APPLIED LIFE SCIENCES↗

Real-Time On-Ramp Merging Control of Connected and Automated Vehicles using Pseudospectral Convex Optimization

Highway on-ramp merging can be a challenging task for human drivers due to the complex vehicle negotiations and interactions in limited time and space. Connected and automated vehicles (CAVs) have great potential to address the problem and offer many benefits in terms of safety, traffic efficiency, and fuel economy. However, real-time optimal control of CAVs still faces many challenges, including nonlinear dynamics, complex inter-vehicle interactions, and a highly dynamic and uncertain traffic environment. To address these challenges, we develop a novel control approach that balances the solution optimality and computational efficiency to determine optimal merging speed profiles in real time. Specifically, by employing a pseudospectral method and a sequential convex programming approach, two algorithms are proposed and implemented within the model predictive control (MPC) framework to enable real-time generation of optimal solutions for potential on-vehicle applications. The convergence and optimality of the proposed algorithms are validated by comparing with a general-purpose solver under different traffic scenarios.

Shi, Yang↗