An integer linear programming approach for bilinear integer programming

We introduce a new Integer Linear Programming (ILP) approach for solving Integer Programming (IP) problems with bilinear objectives and linear constraints. The approach relies on a series of ILP approximations of the bilinear P. We compare this approach with standard linearization techniques on random instances and a set of real-world product bundling problems. (C) 2011 Elsevier B.V. All rights reserved.

A modified Primal-Dual Logarithmic-Barrier Method for solving the Optimal Power Flow problem with discrete and continuous control variables

The aim of solving the Optimal Power Flow problem is to determine the optimal state of an electric power transmission system, that is, the voltage magnitude and phase angles and the tap ratios of the transformers that optimize the performance of a given system, while satisfying its physical and operating constraints. The Optimal Power Flow problem is modeled as a large-scale mixed-discrete nonlinear programming problem. This paper proposes a method for handling the discrete variables of the Optimal Power Flow problem. A penalty function is presented. Due to the inclusion of the penalty function into the objective function, a sequence of nonlinear programming problems with only continuous variables is obtained and the solutions of these problems converge to a solution of the mixed problem. The obtained nonlinear programming problems are solved by a Primal-Dual Logarithmic-Barrier Method. Numerical tests using the IEEE 14, 30, 118 and 300-Bus test systems indicate that the method is efficient. (C) 2012 Elsevier B.V. All rights reserved.

Models for capacitated lot-sizing problem with backlogging, setup carryover and crossover

Setup operations are significant in some production environments. It is mandatory that their production plans consider some features, as setup state conservation across periods through setup carryover and crossover. The modelling of setup crossover allows more flexible decisions and is essential for problems with long setup times. This paper proposes two models for the capacitated lot-sizing problem with backlogging and setup carryover and crossover. The first is in line with other models from the literature, whereas the second considers a disaggregated setup variable, which tracks the starting and completion times of the setup operation. This innovative approach permits a more compact formulation. Computational results show that the proposed models have outperformed other state-of-the-art formulation.

Integrated pulp and paper mill planning and scheduling

This article describes a real-world production planning and scheduling problem occurring at an integrated pulp and paper mill (P&P) which manufactures paper for cardboard out of produced pulp. During the cooking of wood chips in the digester, two by-products are produced: the pulp itself (virgin fibers) and the waste stream known as black liquor. The former is then mixed with recycled fibers and processed in a paper machine. Here, due to significant sequence-dependent setups in paper type changeovers, sizing and sequencing of lots have to be made simultaneously in order to efficiently use capacity. The latter is converted into electrical energy using a set of evaporators, recovery boilers and counter-pressure turbines. The planning challenge is then to synchronize the material flow as it moves through the pulp and paper mills, and energy plant, maximizing customer demand (as backlogging is allowed), and minimizing operation costs. Due to the intensive capital feature of P&P, the output of the digester must be maximized. As the production bottleneck is not fixed, to tackle this problem we propose a new model that integrates the critical production units associated to the pulp and paper mills, and energy plant for the first time. Simple stochastic mixed integer programming based local search heuristics are developed to obtain good feasible solutions for the problem. The benefits of integrating the three stages are discussed. The proposed approaches are tested on real-world data. Our work may help P&P companies to increase their competitiveness and reactiveness in dealing with demand pattern oscillations. (C) 2012 Elsevier Ltd. All rights reserved.

Asynchronous teams for joint lot-sizing and scheduling problem in flow shops

The integrated production scheduling and lot-sizing problem in a flow shop environment consists of establishing production lot sizes and allocating machines to process them within a planning horizon in a production line with machines arranged in series. The problem considers that demands must be met without backlogging, the capacity of the machines must be respected, and machine setups are sequence-dependent and preserved between periods of the planning horizon. The objective is to determine a production schedule to minimise the setup, production and inventory costs. A mathematical model from the literature is presented, as well as procedures for obtaining feasible solutions. However, some of the procedures have difficulty in obtaining feasible solutions for large-sized problem instances. In addition, we address the problem using different versions of the Asynchronous Team (A-Team) approach. The procedures were compared with literature heuristics based on Mixed Integer Programming. The proposed A-Team procedures outperformed the literature heuristics, especially for large instances. The developed methodologies and the results obtained are presented.

MATHEMATICAL MODELS AND POLYHEDRAL STUDIES FOR INTEGRAL SHEET METAL DESIGN

We deal with the optimization of the production of branched sheet metal products. New forming techniques for sheet metal give rise to a wide variety of possible profiles and possible ways of production. In particular, we show how the problem of producing a given profile geometry can be modeled as a discrete optimization problem. We provide a theoretical analysis of the model in order to improve its solution time. In this context we give the complete convex hull description of some substructures of the underlying polyhedron. Moreover, we introduce a new class of facet-defining inequalities that represent connectivity constraints for the profile and show how these inequalities can be separated in polynomial time. Finally, we present numerical results for various test instances, both real-world and academic examples.

Accelerating benders decomposition with heuristicmaster problem solutions

In this paper, a general scheme for generating extra cuts during the execution of a Benders decomposition algorithm is presented. These cuts are based on feasible and infeasible master problem solutions generated by means of a heuristic. This article includes general guidelines and a case study with a fixed charge network design problem. Computational tests with instances of this problem show the efficiency of the strategy. The most important aspect of the proposed ideas is their generality, which allows them to be used in virtually any Benders decomposition implementation.

A relaxed constant positive linear dependence constraint qualification and applications

In this work we introduce a relaxed version of the constant positive linear dependence constraint qualification (CPLD) that we call RCPLD. This development is inspired by a recent generalization of the constant rank constraint qualification by Minchenko and Stakhovski that was called RCRCQ. We show that RCPLD is enough to ensure the convergence of an augmented Lagrangian algorithm and that it asserts the validity of an error bound. We also provide proofs and counter-examples that show the relations of RCRCQ and RCPLD with other known constraint qualifications. In particular, RCPLD is strictly weaker than CPLD and RCRCQ, while still stronger than Abadie's constraint qualification. We also verify that the second order necessary optimality condition holds under RCRCQ.

Optimal reactive power flow via the modified barrier Lagrangian function approach

A new approach called the Modified Barrier Lagrangian Function (MBLF) to solve the Optimal Reactive Power Flow problem is presented. In this approach, the inequality constraints are treated by the Modified Barrier Function (MBF) method, which has a finite convergence property: i.e. the optimal solution in the MBF method can actually be in the bound of the feasible set. Hence, the inequality constraints can be precisely equal to zero. Another property of the MBF method is that the barrier parameter does not need to be driven to zero to attain the solution. Therefore, the conditioning of the involved Hessian matrix is greatly enhanced. In order to show this, a comparative analysis of the numeric conditioning of the Hessian matrix of the MBLF approach, by the decomposition in singular values, is carried out. The feasibility of the proposed approach is also demonstrated with comparative tests to Interior Point Method (IPM) using various IEEE test systems and two networks derived from Brazilian generation/transmission system. The results show that the MBLF method is computationally more attractive than the IPM in terms of speed, number of iterations and numerical conditioning. (C) 2011 Elsevier B.V. All rights reserved.

Three time-based scale formulations for the two-stage lot sizing and scheduling in process industries

In this paper, we propose three novel mathematical models for the two-stage lot-sizing and scheduling problems present in many process industries. The problem shares a continuous or quasi-continuous production feature upstream and a discrete manufacturing feature downstream, which must be synchronized. Different time-based scale representations are discussed. The first formulation encompasses a discrete-time representation. The second one is a hybrid continuous-discrete model. The last formulation is based on a continuous-time model representation. Computational tests with state-of-the-art MIP solver show that the discrete-time representation provides better feasible solutions in short running time. On the other hand, the hybrid model achieves better solutions for longer computational times and was able to prove optimality more often. The continuous-type model is the most flexible of the three for incorporating additional operational requirements, at a cost of having the worst computational performance. Journal of the Operational Research Society (2012) 63, 1613-1630. doi:10.1057/jors.2011.159 published online 7 March 2012

Optimization of Large-Scale Hydrothermal System Operation

This paper presents the development of a mathematical model to optimize the management and operation of the Brazilian hydrothermal system. The system consists of a large set of individual hydropower plants and a set of aggregated thermal plants. The energy generated in the system is interconnected by a transmission network so it can be transmitted to centers of consumption throughout the country. The optimization model offered is capable of handling different types of constraints, such as interbasin water transfers, water supply for various purposes, and environmental requirements. Its overall objective is to produce energy to meet the country's demand at a minimum cost. Called HIDROTERM, the model integrates a database with basic hydrological and technical information to run the optimization model, and provides an interface to manage the input and output data. The optimization model uses the General Algebraic Modeling System (GAMS) package and can invoke different linear as well as nonlinear programming solvers. The optimization model was applied to the Brazilian hydrothermal system, one of the largest in the world. The system is divided into four subsystems with 127 active hydropower plants. Preliminary results under different scenarios of inflow, demand, and installed capacity demonstrate the efficiency and utility of the model. From this and other case studies in Brazil, the results indicate that the methodology developed is suitable to different applications, such as planning operation, capacity expansion, and operational rule studies, and trade-off analysis among multiple water users. DOI: 10.1061/(ASCE)WR.1943-5452.0000149. (C) 2012 American Society of Civil Engineers.

Augmented Lagrangian method with nonmonotone penalty parameters for constrained optimization

At each outer iteration of standard Augmented Lagrangian methods one tries to solve a box-constrained optimization problem with some prescribed tolerance. In the continuous world, using exact arithmetic, this subproblem is always solvable. Therefore, the possibility of finishing the subproblem resolution without satisfying the theoretical stopping conditions is not contemplated in usual convergence theories. However, in practice, one might not be able to solve the subproblem up to the required precision. This may be due to different reasons. One of them is that the presence of an excessively large penalty parameter could impair the performance of the box-constraint optimization solver. In this paper a practical strategy for decreasing the penalty parameter in situations like the one mentioned above is proposed. More generally, the different decisions that may be taken when, in practice, one is not able to solve the Augmented Lagrangian subproblem will be discussed. As a result, an improved Augmented Lagrangian method is presented, which takes into account numerical difficulties in a satisfactory way, preserving suitable convergence theory. Numerical experiments are presented involving all the CUTEr collection test problems.

New Optimization Algorithms for Structural Reliability Analysis

Solution of structural reliability problems by the First Order method require optimization algorithms to find the smallest distance between a limit state function and the origin of standard Gaussian space. The Hassofer-Lind-Rackwitz-Fiessler (HLRF) algorithm, developed specifically for this purpose, has been shown to be efficient but not robust, as it fails to converge for a significant number of problems. On the other hand, recent developments in general (augmented Lagrangian) optimization techniques have not been tested in aplication to structural reliability problems. In the present article, three new optimization algorithms for structural reliability analysis are presented. One algorithm is based on the HLRF, but uses a new differentiable merit function with Wolfe conditions to select step length in linear search. It is shown in the article that, under certain assumptions, the proposed algorithm generates a sequence that converges to the local minimizer of the problem. Two new augmented Lagrangian methods are also presented, which use quadratic penalties to solve nonlinear problems with equality constraints. Performance and robustness of the new algorithms is compared to the classic augmented Lagrangian method, to HLRF and to the improved HLRF (iHLRF) algorithms, in the solution of 25 benchmark problems from the literature. The new proposed HLRF algorithm is shown to be more robust than HLRF or iHLRF, and as efficient as the iHLRF algorithm. The two augmented Lagrangian methods proposed herein are shown to be more robust and more efficient than the classical augmented Lagrangian method.

The boundedness of penalty parameters in an augmented Lagrangian method with constrained subproblems

Augmented Lagrangian methods are effective tools for solving large-scale nonlinear programming problems. At each outer iteration, a minimization subproblem with simple constraints, whose objective function depends on updated Lagrange multipliers and penalty parameters, is approximately solved. When the penalty parameter becomes very large, solving the subproblem becomes difficult; therefore, the effectiveness of this approach is associated with the boundedness of the penalty parameters. In this paper, it is proved that under more natural assumptions than the ones employed until now, penalty parameters are bounded. For proving the new boundedness result, the original algorithm has been slightly modified. Numerical consequences of the modifications are discussed and computational experiments are presented.

Mapping virtual networks onto substrate networks

Network virtualization is a promising technique for building the Internet of the future since it enables the low cost introduction of new features into network elements. An open issue in such virtualization is how to effect an efficient mapping of virtual network elements onto those of the existing physical network, also called the substrate network. Mapping is an NP-hard problem and existing solutions ignore various real network characteristics in order to solve the problem in a reasonable time frame. This paper introduces new algorithms to solve this problem based on 0–1 integer linear programming, algorithms based on a whole new set of network parameters not taken into account by previous proposals. Approximative algorithms proposed here allow the mapping of virtual networks on large network substrates. Simulation experiments give evidence of the efficiency of the proposed algorithms.