Stochastic Approximation Algorithms for Constrained Optimization via Simulation

We develop four algorithms for simulation-based optimization under multiple inequality constraints. Both the cost and the constraint functions are considered to be long-run averages of certain state-dependent single-stage functions. We pose the problem in the simulation optimization framework by using the Lagrange multiplier method. Two of our algorithms estimate only the gradient of the Lagrangian, while the other two estimate both the gradient and the Hessian of it. In the process, we also develop various new estimators for the gradient and Hessian. All our algorithms use two simulations each. Two of these algorithms are based on the smoothed functional (SF) technique, while the other two are based on the simultaneous perturbation stochastic approximation (SPSA) method. We prove the convergence of our algorithms and show numerical experiments on a setting involving an open Jackson network. The Newton-based SF algorithm is seen to show the best overall performance.

Constrained optimization of heat exchangers

Optimizing a shell and tube heat exchanger for a given duty is an important and relatively difficult task. There is a need for a simple, general and reliable method for realizing this task. The authors present here one such method for optimizing single phase shell-and-tube heat exchangers with given geometric and thermohydraulic constraints. They discuss the problem in detail. Then they introduce a basic algorithm for optimizing the exchanger. This algorithm is based on data from an earlier study of a large collection of feasible designs generated for different process specifications. The algorithm ensures a near-optimal design satisfying the given heat duty and geometric constraints. The authors also provide several sub-algorithms to satisfy imposed velocity limitations. They illustrate how useful these sub-algorithms are with several examples where the exchanger weight is minimized.

Optimum steering input determination and path-tracking of all-wheel steer vehicles on uneven terrains based on constrained optimization

In this paper we propose a framework for optimum steering input determination of all-wheel steer vehicles (AWSV) on rough terrains. The framework computes the steering input which minimizes the tracking error for a given trajectory. Unlike previous methodologies of computing steering inputs of car-like vehicles, the proposed methodology depends explicitly on the vehicle dynamics and can be extended to vehicle having arbitrary number of steering inputs. A fully generic framework has been used to derive the vehicle dynamics and a non-linear programming based constrained optimization approach has been used to compute the steering input considering the instantaneous vehicle dynamics, no-slip and contact constraints of the vehicle. All Wheel steer Vehicles have a special parallel steering ability where the instantaneous centre of rotation (ICR) is at infinity. The proposed framework automatically enables the vehicle to choose between parallel steer and normal operation depending on the error with respect to the desired trajectory. The efficacy of the proposed framework is proved by extensive uneven terrain simulations, for trajectories with continuous or discontinuous velocity profile.

A probabilistic constrained nonlinear optimization framework to optimize RED parameters

The random early detection (RED) technique has seen a lot of research over the years. However, the functional relationship between RED performance and its parameters viz,, queue weight (omega(q)), marking probability (max(p)), minimum threshold (min(th)) and maximum threshold (max(th)) is not analytically availa ble. In this paper, we formulate a probabilistic constrained optimization problem by assuming a nonlinear relationship between the RED average queue length and its parameters. This problem involves all the RED parameters as the variables of the optimization problem. We use the barrier and the penalty function approaches for its Solution. However (as above), the exact functional relationship between the barrier and penalty objective functions and the optimization variable is not known, but noisy samples of these are available for different parameter values. Thus, for obtaining the gradient and Hessian of the objective, we use certain recently developed simultaneous perturbation stochastic approximation (SPSA) based estimates of these. We propose two four-timescale stochastic approximation algorithms based oil certain modified second-order SPSA updates for finding the optimum RED parameters. We present the results of detailed simulation experiments conducted over different network topologies and network/traffic conditions/settings, comparing the performance of Our algorithms with variants of RED and a few other well known adaptive queue management (AQM) techniques discussed in the literature.

A four-timescale algorithm for constrained stochastic optimization of RED

The overall performance of random early detection (RED) routers in the Internet is determined by the settings of their associated parameters. The non-availability of a functional relationship between the RED performance and its parameters makes it difficult to implement optimization techniques directly in order to optimize the RED parameters. In this paper, we formulate a generic optimization framework using a stochastically bounded delay metric to dynamically adapt the RED parameters. The constrained optimization problem thus formulated is solved using traditional nonlinear programming techniques. Here, we implement the barrier and penalty function approaches, respectively. We adopt a second-order nonlinear optimization framework and propose a novel four-timescale stochastic approximation algorithm to estimate the gradient and Hessian of the barrier and penalty objectives and update the RED parameters. A convergence analysis of the proposed algorithm is briefly sketched. We perform simulations to evaluate the performance of our algorithm with both barrier and penalty objectives and compare these with RED and a variant of it in the literature. We observe an improvement in performance using our proposed algorithm over RED, and the above variant of it.

Reliability Optimization using SLUMT

This paper is concerned with the reliability optimization of a spatially redundant system, subject to various constraints, by using nonlinear programming. The constrained optimization problem is converted into a sequence of unconstrained optimization problems by using a penalty function. The new problem is then solved by the conjugate gradient method. The advantages of this method are highlighted.

Hydropower Project Design Incorporating Submergence Costs

Submergence of land is a major impact of large hydropower projects. Such projects are often also dogged by siltation, delays in construction and heavy debt burdens-factors that are not considered in the project planning exercise. A simple constrained optimization model for the benefit~ost analysis of large hydropower projects that considers these features is proposed. The model is then applied to two sites in India. Using the potential productivity of an energy plantation on the submergible land is suggested as a reasonable approach to estimating the opportunity cost of submergence. Optimum project dimensions are calculated for various scenarios. Results indicate that the inclusion of submergence cost may lead to a substanual reduction in net present value and hence in project viability. Parameters such as project lifespan, con$truction time, discount rate and external debt burden are also of significance. The designs proposed by the planners are found to be uneconomic, whIle even the optimal design may not be viable for more typical scenarios. The concept of energy opportunity cost is useful for preliminary screening; some projects may require more detailed calculations. The optimization approach helps identify significant trade-offs between energy generation and land availability.

Neural network based optimal routing algorithm for communication networks

This paper presents the capability of the neural networks as a computational tool for solving constrained optimization problem, arising in routing algorithms for the present day communication networks. The application of neural networks in the optimum routing problem, in case of packet switched computer networks, where the goal is to minimize the average delays in the communication have been addressed. The effectiveness of neural network is shown by the results of simulation of a neural design to solve the shortest path problem. Simulation model of neural network is shown to be utilized in an optimum routing algorithm known as flow deviation algorithm. It is also shown that the model will enable the routing algorithm to be implemented in real time and also to be adaptive to changes in link costs and network topology. (C) 2002 Elsevier Science Ltd. All rights reserved.

Low complexity Bit allocation algorithms for AAC encoding

We have developed two reduced complexity bit-allocation algorithms for MP3/AAC based audio encoding, which can be useful at low bit-rates. One algorithm derives optimum bit-allocation using constrained optimization of weighted noise-to-mask ratio and the second algorithm uses decoupled iterations for distortion control and rate control, with convergence criteria. MUSHRA based evaluation indicated that the new algorithm would be comparable to AAC but requiring only about 1/10 th the complexity.

Learning polyhedral classifiers using logistic function

In this paper we propose a new algorithm for learning polyhedral classifiers. In contrast to existing methods for learning polyhedral classifier which solve a constrained optimization problem, our method solves an unconstrained optimization problem. Our method is based on a logistic function based model for the posterior probability function. We propose an alternating optimization algorithm, namely, SPLA1 (Single Polyhedral Learning Algorithm1) which maximizes the loglikelihood of the training data to learn the parameters. We also extend our method to make it independent of any user specified parameter (e.g., number of hyperplanes required to form a polyhedral set) in SPLA2. We show the effectiveness of our approach with experiments on various synthetic and real world datasets and compare our approach with a standard decision tree method (OC1) and a constrained optimization based method for learning polyhedral sets.

Discrete Vortex Method-Based Model for Ground-Effect Studies

A discrete vortex method-based model has been proposed for two-dimensional/three-dimensional ground-effect prediction. The model merely requires two-dimensional sectional aerodynamics in free flight. This free-flight data can be obtained either from experiments or a high-fidelity computational fluid dynamics solver. The first step of this two-step model involves a constrained optimization procedure that modifies the vortex distribution on the camber line as obtained from a discrete vortex method to match the free-flight data from experiments/computational fluid dynamics. In the second step, the vortex distribution thus obtained is further modified to account for the presence of the ground plane within a discrete vortex method-based framework. Whereas the predictability of the lift appears as a natural extension, the drag predictability within a potential flow framework is achieved through the introduction of what are referred to as drag panels. The need for the use of the generalized Kutta-Joukowski theorem is emphasized. The extension of the model to three dimensions is by the way of using the numerical lifting-line theory that allows for wing sweep. The model is extensively validated for both two-dimensional and three-dimensional ground-effect studies. The work also demonstrates the ability of the model to predict lift and drag coefficients of a high-lift wing in ground effect to about 2 and 8% accuracy, respectively, as compared to the results obtained using a Reynolds-averaged Navier-Stokes solver involving grids with several million volumes. The model shows a lot of promise in design, particularly during the early phase.

Solving Dynamic Constraint Single Objective Functions using a Nature Inspired Technique

We present in this paper a new algorithm based on Particle Swarm Optimization (PSO) for solving Dynamic Single Objective Constrained Optimization (DCOP) problems. We have modified several different parameters of the original particle swarm optimization algorithm by introducing new types of particles for local search and to detect changes in the search space. The algorithm is tested with a known benchmark set and compare with the results with other contemporary works. We demonstrate the convergence properties by using convergence graphs and also the illustrate the changes in the current benchmark problems for more realistic correspondence to practical real world problems.

Reservoir Operation for Hydropower Optimization: A Chance-Constrained Approach

This paper presents a chance-constrained linear programming formulation for reservoir operation of a multipurpose reservoir. The release policy is defined by a chance constraint that the probability of irrigation release in any period equalling or exceeding the irrigation demand is at least equal to a specified value P (called reliability level). The model determines the maximum annual hydropower produced while meeting the irrigation demand at a specified reliability level. The model considers variation in reservoir water level elevation and also the operating range within which the turbine operates. A linear approximation for nonlinear power production function is assumed and the solution obtained within a specified tolerance limit. The inflow into the reservoir is considered random. The chance constraint is converted into its deterministic equivalent using a linear decision rule and inflow probability distribution. The model application is demonstrated through a case study.

The Alpha-Method Direct Transcription In Path Constrained Dynamic Optimization

Numerically discretized dynamic optimization problems having active inequality and equality path constraints that along with the dynamics induce locally high index differential algebraic equations often cause the optimizer to fail in convergence or to produce degraded control solutions. In many applications, regularization of the numerically discretized problem in direct transcription schemes by perturbing the high index path constraints helps the optimizer to converge to usefulm control solutions. For complex engineering problems with many constraints it is often difficult to find effective nondegenerat perturbations that produce useful solutions in some neighborhood of the correct solution. In this paper we describe a numerical discretization that regularizes the numerically consistent discretized dynamics and does not perturb the path constraints. For all values of the regularization parameter the discretization remains numerically consistent with the dynamics and the path constraints specified in the, original problem. The regularization is quanti. able in terms of time step size in the mesh and the regularization parameter. For full regularized systems the scheme converges linearly in time step size.The method is illustrated with examples.

Chance constrained uncertain classification via robust optimization

This paper studies the problem of constructing robust classifiers when the training is plagued with uncertainty. The problem is posed as a Chance-Constrained Program (CCP) which ensures that the uncertain data points are classified correctly with high probability. Unfortunately such a CCP turns out to be intractable. The key novelty is in employing Bernstein bounding schemes to relax the CCP as a convex second order cone program whose solution is guaranteed to satisfy the probabilistic constraint. Prior to this work, only the Chebyshev based relaxations were exploited in learning algorithms. Bernstein bounds employ richer partial information and hence can be far less conservative than Chebyshev bounds. Due to this efficient modeling of uncertainty, the resulting classifiers achieve higher classification margins and hence better generalization. Methodologies for classifying uncertain test data points and error measures for evaluating classifiers robust to uncertain data are discussed. Experimental results on synthetic and real-world datasets show that the proposed classifiers are better equipped to handle data uncertainty and outperform state-of-the-art in many cases.