Extremum estimators and stochastic optimization methods

Submitted in partial fulfillment for the Requirements for the Degree of PhD in Mathematics, in the Speciality of Statistics in the Faculdade de Ciências e Tecnologia

Multi-Objective and Financial Portfolio Optimization of Carrier-Sense Multiple Access Protocols with Cooperative Diversity

8th International Workshop on Multiple Access Communications (MACOM2015), Helsinki, Finland.

Linear amplification with multiple nonlinear devices

Dissertação para obtenção do Grau de Mestre em Engenharia Electrotécnica e Computadores

An evolutionary multi-objective optimization system for earthworks

Earthworks involve the levelling or shaping of a target area through the moving or processing of the ground surface. Most construction projects require earthworks, which are heavily dependent on mechanical equipment (e.g., excavators, trucks and compactors). Often, earthworks are the most costly and time-consuming component of infrastructure constructions (e.g., road, railway and airports) and current pressure for higher productivity and safety highlights the need to optimize earthworks, which is a nontrivial task. Most previous attempts at tackling this problem focus on single-objective optimization of partial processes or aspects of earthworks, overlooking the advantages of a multi-objective and global optimization. This work describes a novel optimization system based on an evolutionary multi-objective approach, capable of globally optimizing several objectives simultaneously and dynamically. The proposed system views an earthwork construction as a production line, where the goal is to optimize resources under two crucial criteria (costs and duration) and focus the evolutionary search (non-dominated sorting genetic algorithm-II) on compaction allocation, using linear programming to distribute the remaining equipment (e.g., excavators). Several experiments were held using real-world data from a Portuguese construction site, showing that the proposed system is quite competitive when compared with current manual earthwork equipment allocation.

Desenvolvimento e otimização do projeto mecatrónico para um Tribómetro Linear

Dissertação de mestrado integrado em Engenharia Mecânica

Development of an intelligent earthwork optimization system

Tese de Doutoramento em Engenharia Civil.

Optimization of spatial resolution for peripheral magnetic resonance angiography.

RATIONALE AND OBJECTIVES: To determine optimum spatial resolution when imaging peripheral arteries with magnetic resonance angiography (MRA). MATERIALS AND METHODS: Eight vessel diameters ranging from 1.0 to 8.0 mm were simulated in a vascular phantom. A total of 40 three-dimensional flash MRA sequences were acquired with incremental variations of fields of view, matrix size, and slice thickness. The accurately known eight diameters were combined pairwise to generate 22 "exact" degrees of stenosis ranging from 42% to 87%. Then, the diameters were measured in the MRA images by three independent observers and with quantitative angiography (QA) software and used to compute the degrees of stenosis corresponding to the 22 "exact" ones. The accuracy and reproducibility of vessel diameter measurements and stenosis calculations were assessed for vessel size ranging from 6 to 8 mm (iliac artery), 4 to 5 mm (femoro-popliteal arteries), and 1 to 3 mm (infrapopliteal arteries). Maximum pixel dimension and slice thickness to obtain a mean error in stenosis evaluation of less than 10% were determined by linear regression analysis. RESULTS: Mean errors on stenosis quantification were 8.8% +/- 6.3% for 6- to 8-mm vessels, 15.5% +/- 8.2% for 4- to 5-mm vessels, and 18.9% +/- 7.5% for 1- to 3-mm vessels. Mean errors on stenosis calculation were 12.3% +/- 8.2% for observers and 11.4% +/- 15.1% for QA software (P = .0342). To evaluate stenosis with a mean error of less than 10%, maximum pixel surface, the pixel size in the phase direction, and the slice thickness should be less than 1.56 mm2, 1.34 mm, 1.70 mm, respectively (voxel size 2.65 mm3) for 6- to 8-mm vessels; 1.31 mm2, 1.10 mm, 1.34 mm (voxel size 1.76 mm3), for 4- to 5-mm vessels; and 1.17 mm2, 0.90 mm, 0.9 mm (voxel size 1.05 mm3) for 1- to 3-mm vessels. CONCLUSION: Higher spatial resolution than currently used should be selected for imaging peripheral vessels.

COMMIT: Convex Optimization Modeling for Microstructure Informed Tractography.

Tractography is a class of algorithms aiming at in vivo mapping the major neuronal pathways in the white matter from diffusion magnetic resonance imaging (MRI) data. These techniques offer a powerful tool to noninvasively investigate at the macroscopic scale the architecture of the neuronal connections of the brain. However, unfortunately, the reconstructions recovered with existing tractography algorithms are not really quantitative even though diffusion MRI is a quantitative modality by nature. As a matter of fact, several techniques have been proposed in recent years to estimate, at the voxel level, intrinsic microstructural features of the tissue, such as axonal density and diameter, by using multicompartment models. In this paper, we present a novel framework to reestablish the link between tractography and tissue microstructure. Starting from an input set of candidate fiber-tracts, which are estimated from the data using standard fiber-tracking techniques, we model the diffusion MRI signal in each voxel of the image as a linear combination of the restricted and hindered contributions generated in every location of the brain by these candidate tracts. Then, we seek for the global weight of each of them, i.e., the effective contribution or volume, such that they globally fit the measured signal at best. We demonstrate that these weights can be easily recovered by solving a global convex optimization problem and using efficient algorithms. The effectiveness of our approach has been evaluated both on a realistic phantom with known ground-truth and in vivo brain data. Results clearly demonstrate the benefits of the proposed formulation, opening new perspectives for a more quantitative and biologically plausible assessment of the structural connectivity of the brain.

A convex optimization framework for global tractography

In this article we present a novel approach for diffusion MRI global tractography. Our formulation models the signal in each voxel as a linear combination of fiber-tract basis func- tions, which consist of a comprehensive set of plausible fiber tracts that are locally compatible with the measured MR signal. This large dictionary of candidate fibers is directly estimated from the data and, subsequently, efficient convex optimization techniques are used for recovering the smallest subset globally best fitting the measured signal. Experimen- tal results conducted on a realistic phantom demonstrate that our approach significantly reduces the computational cost of global tractography while still attaining a reconstruction quality at least as good as the state-of-the-art global methods.

A new compact linear programming formulation for choice network revenue management

The choice network revenue management model incorporates customer purchase behavioras a function of the offered products, and is the appropriate model for airline and hotel networkrevenue management, dynamic sales of bundles, and dynamic assortment optimization.The optimization problem is a stochastic dynamic program and is intractable. A certainty-equivalencerelaxation of the dynamic program, called the choice deterministic linear program(CDLP) is usually used to generate dyamic controls. Recently, a compact linear programmingformulation of this linear program was given for the multi-segment multinomial-logit (MNL)model of customer choice with non-overlapping consideration sets. Our objective is to obtaina tighter bound than this formulation while retaining the appealing properties of a compactlinear programming representation. To this end, it is natural to consider the affine relaxationof the dynamic program. We first show that the affine relaxation is NP-complete even for asingle-segment MNL model. Nevertheless, by analyzing the affine relaxation we derive a newcompact linear program that approximates the dynamic programming value function betterthan CDLP, provably between the CDLP value and the affine relaxation, and often comingclose to the latter in our numerical experiments. When the segment consideration sets overlap,we show that some strong equalities called product cuts developed for the CDLP remain validfor our new formulation. Finally we perform extensive numerical comparisons on the variousbounds to evaluate their performance.

Parallel scheduling of multiclass M/M/m queues: Approximate and heavy-traffic optimization of achievable performance

We address the problem of scheduling a multiclass $M/M/m$ queue with Bernoulli feedback on $m$ parallel servers to minimize time-average linear holding costs. We analyze the performance of a heuristic priority-index rule, which extends Klimov's optimal solution to the single-server case: servers select preemptively customers with larger Klimov indices. We present closed-form suboptimality bounds (approximate optimality) for Klimov's rule, which imply that its suboptimality gap is uniformly bounded above with respect to (i) external arrival rates, as long as they stay within system capacity;and (ii) the number of servers. It follows that its relativesuboptimality gap vanishes in a heavy-traffic limit, as external arrival rates approach system capacity (heavy-traffic optimality). We obtain simpler expressions for the special no-feedback case, where the heuristic reduces to the classical $c \mu$ rule. Our analysis is based on comparing the expected cost of Klimov's ruleto the value of a strong linear programming (LP) relaxation of the system's region of achievable performance of mean queue lengths. In order to obtain this relaxation, we derive and exploit a new set ofwork decomposition laws for the parallel-server system. We further report on the results of a computational study on the quality of the $c \mu$ rule for parallel scheduling.

Implementing TURF analysis through binary linear programming

This paper introduces the approach of using Total Unduplicated Reach and Frequency analysis (TURF) to design a product line through a binary linear programming model. This improves the efficiency of the search for the solution to the problem compared to the algorithms that have been used to date. The results obtained through our exact algorithm are presented, and this method shows to be extremely efficient both in obtaining optimal solutions and in computing time for very large instances of the problem at hand. Furthermore, the proposed technique enables the model to be improved in order to overcome the main drawbacks presented by TURF analysis in practice.

Optimization of multiclass queueing networks with changeover times via the achievable region approach: Part I, the single-station case

We address the performance optimization problem in a single-stationmulticlass queueing network with changeover times by means of theachievable region approach. This approach seeks to obtainperformance bounds and scheduling policies from the solution of amathematical program over a relaxation of the system's performanceregion. Relaxed formulations (including linear, convex, nonconvexand positive semidefinite constraints) of this region are developedby formulating equilibrium relations satisfied by the system, withthe help of Palm calculus. Our contributions include: (1) newconstraints formulating equilibrium relations on server dynamics;(2) a flow conservation interpretation of the constraintspreviously derived by the potential function method; (3) newpositive semidefinite constraints; (4) new work decomposition lawsfor single-station multiclass queueing networks, which yield newconvex constraints; (5) a unified buffer occupancy method ofperformance analysis obtained from the constraints; (6) heuristicscheduling policies from the solution of the relaxations.

Restless bandits, linear programming relaxations and a primal-dual index heuristic

We develop a mathematical programming approach for the classicalPSPACE - hard restless bandit problem in stochastic optimization.We introduce a hierarchy of n (where n is the number of bandits)increasingly stronger linear programming relaxations, the lastof which is exact and corresponds to the (exponential size)formulation of the problem as a Markov decision chain, while theother relaxations provide bounds and are efficiently computed. Wealso propose a priority-index heuristic scheduling policy fromthe solution to the first-order relaxation, where the indices aredefined in terms of optimal dual variables. In this way wepropose a policy and a suboptimality guarantee. We report resultsof computational experiments that suggest that the proposedheuristic policy is nearly optimal. Moreover, the second-orderrelaxation is found to provide strong bounds on the optimalvalue.

Optimization of multiclass queueing networks with changeover times via the achievable region method: Part II, the multi-station case

We address the problem of scheduling a multi-station multiclassqueueing network (MQNET) with server changeover times to minimizesteady-state mean job holding costs. We present new lower boundson the best achievable cost that emerge as the values ofmathematical programming problems (linear, semidefinite, andconvex) over relaxed formulations of the system's achievableperformance region. The constraints on achievable performancedefining these formulations are obtained by formulatingsystem's equilibrium relations. Our contributions include: (1) aflow conservation interpretation and closed formulae for theconstraints previously derived by the potential function method;(2) new work decomposition laws for MQNETs; (3) new constraints(linear, convex, and semidefinite) on the performance region offirst and second moments of queue lengths for MQNETs; (4) a fastbound for a MQNET with N customer classes computed in N steps; (5)two heuristic scheduling policies: a priority-index policy, anda policy extracted from the solution of a linear programmingrelaxation.