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.

Smoothed Functional Algorithms for Stochastic Optimization Using q-Gaussian Distributions

Smoothed functional (SF) schemes for gradient estimation are known to be efficient in stochastic optimization algorithms, especially when the objective is to improve the performance of a stochastic system However, the performance of these methods depends on several parameters, such as the choice of a suitable smoothing kernel. Different kernels have been studied in the literature, which include Gaussian, Cauchy, and uniform distributions, among others. This article studies a new class of kernels based on the q-Gaussian distribution, which has gained popularity in statistical physics over the last decade. Though the importance of this family of distributions is attributed to its ability to generalize the Gaussian distribution, we observe that this class encompasses almost all existing smoothing kernels. This motivates us to study SF schemes for gradient estimation using the q-Gaussian distribution. Using the derived gradient estimates, we propose two-timescale algorithms for optimization of a stochastic objective function in a constrained setting with a projected gradient search approach. We prove the convergence of our algorithms to the set of stationary points of an associated ODE. We also demonstrate their performance numerically through simulations on a queuing model.

q-Gaussian based Smoothed Functional Algorithms for Stochastic Optimization

The q-Gaussian distribution results from maximizing certain generalizations of Shannon entropy under some constraints. The importance of q-Gaussian distributions stems from the fact that they exhibit power-law behavior, and also generalize Gaussian distributions. In this paper, we propose a Smoothed Functional (SF) scheme for gradient estimation using q-Gaussian distribution, and also propose an algorithm for optimization based on the above scheme. Convergence results of the algorithm are presented. Performance of the proposed algorithm is shown by simulation results on a queuing model.

Optimization of clamped beam geometry for fracture toughness testing of micron-scale samples

Fracture toughness measurements at the small scale have gained prominence over the years due to the continuing miniaturization of structural systems. Measurements carried out on bulk materials cannot be extrapolated to smaller length scales either due to the complexity of the microstructure or due to the size and geometric effect. Many new geometries have been proposed for fracture property measurements at small-length scales depending on the material behaviour and the type of device used in service. In situ testing provides the necessary environment to observe fracture at these length scales so as to determine the actual failure mechanism in these systems. In this paper, several improvements are incorporated to a previously proposed geometry of bending a doubly clamped beam for fracture toughness measurements. Both monotonic and cyclic loading conditions have been imposed on the beam to study R-curve and fatigue effects. In addition to the advantages that in situ SEM-based testing offers in such tests, FEM has been used as a simulation tool to replace cumbersome and expensive experiments to optimize the geometry. A description of all the improvements made to this specific geometry of clamped beam bending to make a variety of fracture property measurements is given in this paper.

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.

Stochastic optimization for adaptive labor staffing in service systems

Service systems are labor intensive. Further, the workload tends to vary greatly with time. Adapting the staffing levels to the workloads in such systems is nontrivial due to a large number of parameters and operational variations, but crucial for business objectives such as minimal labor inventory. One of the central challenges is to optimize the staffing while maintaining system steady-state and compliance to aggregate SLA constraints. We formulate this problem as a parametrized constrained Markov process and propose a novel stochastic optimization algorithm for solving it. Our algorithm is a multi-timescale stochastic approximation scheme that incorporates a SPSA based algorithm for ‘primal descent' and couples it with a ‘dual ascent' scheme for the Lagrange multipliers. We validate this optimization scheme on five real-life service systems and compare it with a state-of-the-art optimization tool-kit OptQuest. Being two orders of magnitude faster than OptQuest, our scheme is particularly suitable for adaptive labor staffing. Also, we observe that it guarantees convergence and finds better solutions than OptQuest in many cases.

Newton-based stochastic optimization using q-Gaussian smoothed functional algorithms

We present the first q-Gaussian smoothed functional (SF) estimator of the Hessian and the first Newton-based stochastic optimization algorithm that estimates both the Hessian and the gradient of the objective function using q-Gaussian perturbations. Our algorithm requires only two system simulations (regardless of the parameter dimension) and estimates both the gradient and the Hessian at each update epoch using these. We also present a proof of convergence of the proposed algorithm. In a related recent work (Ghoshdastidar, Dukkipati, & Bhatnagar, 2014), we presented gradient SF algorithms based on the q-Gaussian perturbations. Our work extends prior work on SF algorithms by generalizing the class of perturbation distributions as most distributions reported in the literature for which SF algorithms are known to work turn out to be special cases of the q-Gaussian distribution. Besides studying the convergence properties of our algorithm analytically, we also show the results of numerical simulations on a model of a queuing network, that illustrate the significance of the proposed method. In particular, we observe that our algorithm performs better in most cases, over a wide range of q-values, in comparison to Newton SF algorithms with the Gaussian and Cauchy perturbations, as well as the gradient q-Gaussian SF algorithms. (C) 2014 Elsevier Ltd. All rights reserved.

Simulation of magnetovolume effects in Fe65Ni35 nanoparticles

We compare magnetovolume effects in bulk and nanoparticles by performing Monte Carlo simulations of a spin-analogous model with coupled spatial and magnetic degrees of freedom and chemical disorder. We find that correlations between surface and bulk atoms lead with decreasing particle size to a substantial modification of the magnetic and elastic behavior at low temperatures.

Simulation and experimental study on compositional evolution of Li-Co in LiCoO(2) thin films during sputter deposition

The compositional evolution in sputter deposited LiCoO(2) thin films is influenced by process parameters involved during deposition. The electrochemical performance of these films strongly depends on their microstructure, preferential orientation and stoichiometry. The transport process of sputtered Li and Co atoms from the LiCoO(2) target to the substrate, through Ar plasma in a planar magnetron configuration, was investigated based on the Monte Carlo technique. The effect of sputtering gas pressure and the substrate-target distance (d(st)) on Li/Co ratio, as well as, energy and angular distribution of sputtered atoms on the substrate were examined. Stable Li/Co ratios have been obtained at 5 Pa pressure and d(st) in the range 5 11 cm. The kinetic energy and incident angular distribution of Li and Co atoms reaching the substrate have been found to be dependent on sputtering pressure. Simulations were extended to predict compositional variations in films prepared at various process conditions. These results were compared with the composition of films determined experimentally using x-ray photoelectron spectroscopy (XPS). Li/Co ratio calculated using XPS was in moderate agreement with that of the simulated value. The measured film thickness followed the same trend as predicted by simulation. These studies are shown to be useful in understanding the complexities in multicomponent sputtering. (C) 2011 American Institute of Physics. doi:10.1063/1.3597829]

Simulation of Influence of Bilayer Melting on Dynamics and Thermodynamics of Interfacial Water

We investigate the effect of bilayer melting transition on thermodynamics and dynamics of interfacial water using molecular dynamics simulation with the two-phase thermodynamic model. We show that the diffusivity of interface water depicts a dynamic crossover at the chain melting transition following an Arrhenius behavior until the transition temperature. The corresponding change in the diffusion coefficient from the bulk to the interface water is comparable with experimental observations found recently for water near 1,2-dipalmitoyl-sn-glycero-3-phosphocholine (DPPC) vesicles Phys. Chem. Chem. Phys. 13, 7732 (2011)]. The entropy and potential energy of interfacial water show distinct changes at the bilayer melting transition, indicating a strong correlation in the thermodynamic state of water and the accompanying first-order phase transition of the bilayer membrane. DOI: 10.1103/PhysRevLett.110.018303

Simulation of inhomogeneous distributions of ultracold atoms in an optical lattice via a massively parallel implementation of nonequilibrium strong-coupling perturbation theory

We present a nonequilibrium strong-coupling approach to inhomogeneous systems of ultracold atoms in optical lattices. We demonstrate its application to the Mott-insulating phase of a two-dimensional Fermi-Hubbard model in the presence of a trap potential. Since the theory is formulated self-consistently, the numerical implementation relies on a massively parallel evaluation of the self-energy and the Green's function at each lattice site, employing thousands of CPUs. While the computation of the self-energy is straightforward to parallelize, the evaluation of the Green's function requires the inversion of a large sparse 10(d) x 10(d) matrix, with d > 6. As a crucial ingredient, our solution heavily relies on the smallness of the hopping as compared to the interaction strength and yields a widely scalable realization of a rapidly converging iterative algorithm which evaluates all elements of the Green's function. Results are validated by comparing with the homogeneous case via the local-density approximation. These calculations also show that the local-density approximation is valid in nonequilibrium setups without mass transport.

Energy-Efficient Decentralized Cooperative Routing in Wireless Networks

Wireless adhoc networks transmit information from a source to a destination via multiple hops in order to save energy and, thus, increase the lifetime of battery-operated nodes. The energy savings can be especially significant in cooperative transmission schemes, where several nodes cooperate during one hop to forward the information to the next node along a route to the destination. Finding the best multi-hop transmission policy in such a network which determines nodes that are involved in each hop, is a very important problem, but also a very difficult one especially when the physical wireless channel behavior is to be accounted for and exploited. We model the above optimization problem for randomly fading channels as a decentralized control problem - the channel observations available at each node define the information structure, while the control policy is defined by the power and phase of the signal transmitted by each node. In particular, we consider the problem of computing an energy-optimal cooperative transmission scheme in a wireless network for two different channel fading models: (i) slow fading channels, where the channel gains of the links remain the same for a large number of transmissions, and (ii) fast fading channels, where the channel gains of the links change quickly from one transmission to another. For slow fading, we consider a factored class of policies (corresponding to local cooperation between nodes), and show that the computation of an optimal policy in this class is equivalent to a shortest path computation on an induced graph, whose edge costs can be computed in a decentralized manner using only locally available channel state information (CSI). For fast fading, both CSI acquisition and data transmission consume energy. Hence, we need to jointly optimize over both these; we cast this optimization problem as a large stochastic optimization problem. We then jointly optimize over a set of CSI functions of the local channel states, and a c- - orresponding factored class of control poli.

A Team of Continuous-Action Learning Automata for Noise-Tolerant Learning of Half-Spaces

Learning automata are adaptive decision making devices that are found useful in a variety of machine learning and pattern recognition applications. Although most learning automata methods deal with the case of finitely many actions for the automaton, there are also models of continuous-action-set learning automata (CALA). A team of such CALA can be useful in stochastic optimization problems where one has access only to noise-corrupted values of the objective function. In this paper, we present a novel formulation for noise-tolerant learning of linear classifiers using a CALA team. We consider the general case of nonuniform noise, where the probability that the class label of an example is wrong may be a function of the feature vector of the example. The objective is to learn the underlying separating hyperplane given only such noisy examples. We present an algorithm employing a team of CALA and prove, under some conditions on the class conditional densities, that the algorithm achieves noise-tolerant learning as long as the probability of wrong label for any example is less than 0.5. We also present some empirical results to illustrate the effectiveness of the algorithm.

Energy-Efficient Decentralized Routing with Localized Cooperation Suitable for Fast Fading

Wireless networks transmit information from a source to a destination via multiple hops in order to save energy and, thus, increase the lifetime of battery-operated nodes. The energy savings can be especially significant in cooperative transmission schemes, where several nodes cooperate during one hop to forward the information to the next node along a route to the destination. Finding the best multi-hop transmission policy in such a network which determines nodes that are involved in each hop, is a very important problem, but also a very difficult one especially when the physical wireless channel behavior is to be accounted for and exploited. We model the above optimization problem for randomly fading channels as a decentralized control problem – the channel observations available at each node define the information structure, while the control policy is defined by the power and phase of the signal transmitted by each node.In particular, we consider the problem of computing an energy-optimal cooperative transmission scheme in a wireless network for two different channel fading models: (i) slow fading channels, where the channel gains of the links remain the same for a large number of transmissions, and (ii) fast fading channels,where the channel gains of the links change quickly from one transmission to another. For slow fading, we consider a factored class of policies (corresponding to local cooperation between nodes), and show that the computation of an optimal policy in this class is equivalent to a shortest path computation on an induced graph, whose edge costs can be computed in a decentralized manner using only locally available channel state information(CSI). For fast fading, both CSI acquisition and data transmission consume energy. Hence, we need to jointly optimize over both these; we cast this optimization problem as a large stochastic optimization problem. We then jointly optimize over a set of CSI functions of the local channel states, and a corresponding factored class of control policies corresponding to local cooperation between nodes with a local outage constraint. The resulting optimal scheme in this class can again be computed efficiently in a decentralized manner. We demonstrate significant energy savings for both slow and fast fading channels through numerical simulations of randomly distributed networks.