l-stable Functions and Constrained Optimization

Иван Гинчев - Класът на ℓ-устойчивите в точка функции, дефиниран в [2] и разширяващ класа на C1,1 функциите, се обобщава от скаларни за векторни функции. Доказани са някои свойства на ℓ-устойчивите векторни функции. Показано е, че векторни оптимизационни задачи с ограничения допускат условия от втори ред изразени чрез посочни производни, което обобщава резултати от [2] и [5].

Fast iterative solvers for time-dependent PDE-constrained optimization problems

Otto-von-Guericke-Universität Magdeburg, Fakultät für Mathematik, Kumulative Habilitation, 2016

Optimization of the Ion Source-Mass Spectrometry Parameters in Non-Steroidal Anti-Inflammatory and Analgesic Pharmaceuticals Analysis by a Design of Experiments Approach

The flow rates of drying and nebulizing gas, heat block and desolvation line temperatures and interface voltage are potential electrospray ionization parameters as they may enhance sensitivity of the mass spectrometer. The conditions that give higher sensitivity of 13 pharmaceuticals were explored. First, Plackett-Burman design was implemented to screen significant factors, and it was concluded that interface voltage and nebulizing gas flow were the only factors that influence the intensity signal for all pharmaceuticals. This fractionated factorial design was projected to set a full 2(2) factorial design with center points. The lack-of-fit test proved to be significant. Then, a central composite face-centered design was conducted. Finally, a stepwise multiple linear regression and subsequently an optimization problem solving were carried out. Two main drug clusters were found concerning the signal intensities of all runs of the augmented factorial design. p-Aminophenol, salicylic acid, and nimesulide constitute one cluster as a result of showing much higher sensitivity than the remaining drugs. The other cluster is more homogeneous with some sub-clusters comprising one pharmaceutical and its respective metabolite. It was observed that instrumental signal increased when both significant factors increased with maximum signal occurring when both codified factors are set at level +1. It was also found that, for most of the pharmaceuticals, interface voltage influences the intensity of the instrument more than the nebulizing gas flowrate. The only exceptions refer to nimesulide where the relative importance of the factors is reversed and still salicylic acid where both factors equally influence the instrumental signal. Graphical Abstract ᅟ.

Methods for integrating machine learning and constrained optimization

In the framework of industrial problems, the application of Constrained Optimization is known to have overall very good modeling capability and performance and stands as one of the most powerful, explored, and exploited tool to address prescriptive tasks. The number of applications is huge, ranging from logistics to transportation, packing, production, telecommunication, scheduling, and much more. The main reason behind this success is to be found in the remarkable effort put in the last decades by the OR community to develop realistic models and devise exact or approximate methods to solve the largest variety of constrained or combinatorial optimization problems, together with the spread of computational power and easily accessible OR software and resources. On the other hand, the technological advancements lead to a data wealth never seen before and increasingly push towards methods able to extract useful knowledge from them; among the data-driven methods, Machine Learning techniques appear to be one of the most promising, thanks to its successes in domains like Image Recognition, Natural Language Processes and playing games, but also the amount of research involved. The purpose of the present research is to study how Machine Learning and Constrained Optimization can be used together to achieve systems able to leverage the strengths of both methods: this would open the way to exploiting decades of research on resolution techniques for COPs and constructing models able to adapt and learn from available data. In the first part of this work, we survey the existing techniques and classify them according to the type, method, or scope of the integration; subsequently, we introduce a novel and general algorithm devised to inject knowledge into learning models through constraints, Moving Target. In the last part of the thesis, two applications stemming from real-world projects and done in collaboration with Optit will be presented.

A filter algorithm: comparison with NLP solvers

The purpose of this work is to present an algorithm to solve nonlinear constrained optimization problems, using the filter method with the inexact restoration (IR) approach. In the IR approach two independent phases are performed in each iteration—the feasibility and the optimality phases. The first one directs the iterative process into the feasible region, i.e. finds one point with less constraints violation. The optimality phase starts from this point and its goal is to optimize the objective function into the satisfied constraints space. To evaluate the solution approximations in each iteration a scheme based on the filter method is used in both phases of the algorithm. This method replaces the merit functions that are based on penalty schemes, avoiding the related difficulties such as the penalty parameter estimation and the non-differentiability of some of them. The filter method is implemented in the context of the line search globalization technique. A set of more than two hundred AMPL test problems is solved. The algorithm developed is compared with LOQO and NPSOL software packages.

Otimização com restrições de complementaridade: algoritmos e aplicações

Tese de Doutoramento em Engenharia Industrial e de Sistemas (PDEIS)

Efficient solutions to factored MDPs with imprecise transition probabilities

When modeling real-world decision-theoretic planning problems in the Markov Decision Process (MDP) framework, it is often impossible to obtain a completely accurate estimate of transition probabilities. For example, natural uncertainty arises in the transition specification due to elicitation of MOP transition models from an expert or estimation from data, or non-stationary transition distributions arising from insufficient state knowledge. In the interest of obtaining the most robust policy under transition uncertainty, the Markov Decision Process with Imprecise Transition Probabilities (MDP-IPs) has been introduced to model such scenarios. Unfortunately, while various solution algorithms exist for MDP-IPs, they often require external calls to optimization routines and thus can be extremely time-consuming in practice. To address this deficiency, we introduce the factored MDP-IP and propose efficient dynamic programming methods to exploit its structure. Noting that the key computational bottleneck in the solution of factored MDP-IPs is the need to repeatedly solve nonlinear constrained optimization problems, we show how to target approximation techniques to drastically reduce the computational overhead of the nonlinear solver while producing bounded, approximately optimal solutions. Our results show up to two orders of magnitude speedup in comparison to traditional ""flat"" dynamic programming approaches and up to an order of magnitude speedup over the extension of factored MDP approximate value iteration techniques to MDP-IPs while producing the lowest error of any approximation algorithm evaluated. (C) 2011 Elsevier B.V. All rights reserved.

Multiarea optimal power flow using multiobjective evolutionary algorithm

In this work the multiarea optimal power flow (OPF) problem is decoupled into areas creating a set of regional OPF subproblems. The objective is to solve the optimal dispatch of active and reactive power for a determined area, without interfering in the neighboring areas. The regional OPF subproblems are modeled as a large-scale nonlinear constrained optimization problem, with both continuous and discrete variables. Constraints violated are handled as objective functions of the problem. In this way the original problem is converted to a multiobjective optimization problem, and a specifically-designed multiobjective evolutionary algorithm is proposed for solving the regional OPF subproblems. The proposed approach has been examined and tested on the RTS-96 and IEEE 354-bus test systems. Good quality suboptimal solutions were obtained, proving the effectiveness and robustness of the proposed approach. ©2009 IEEE.

A barrier method for constrained nonlinear optimization using a modified Hopfield network

The ability of neural networks to realize some complex nonlinear function makes them attractive for system identification. This paper describes a novel barrier method using artificial neural networks to solve robust parameter estimation problems for nonlinear model with unknown-but-bounded errors and uncertainties. This problem can be represented by a typical constrained optimization problem. More specifically, a modified Hopfield network is developed and its internal parameters are computed using the valid-subspace technique. These parameters guarantee the network convergence to the equilibrium points. A solution for the robust estimation problem with unknown-but-bounded error corresponds to an equilibrium point of the network. Simulation results are presented as an illustration of the proposed approach.

Design and analysis of an efficient neural network model for solving nonlinear optimization problems

This paper presents an efficient approach based on a recurrent neural network for solving constrained nonlinear optimization. More specifically, a modified Hopfield network is developed, and its internal parameters are computed using the valid-subspace technique. These parameters guarantee the convergence of the network to the equilibrium points that represent an optimal feasible solution. The main advantage of the developed network is that it handles optimization and constraint terms in different stages with no interference from each other. Moreover, the proposed approach does not require specification for penalty and weighting parameters for its initialization. A study of the modified Hopfield model is also developed to analyse its stability and convergence. Simulation results are provided to demonstrate the performance of the proposed neural network.

Filters method in direct search optimization, new measures to admissibility

Constrained nonlinear optimization problems are usually solved using penalty or barrier methods combined with unconstrained optimization methods. Another alternative used to solve constrained nonlinear optimization problems is the lters method. Filters method, introduced by Fletcher and Ley er in 2002, have been widely used in several areas of constrained nonlinear optimization. These methods treat optimization problem as bi-objective attempts to minimize the objective function and a continuous function that aggregates the constraint violation functions. Audet and Dennis have presented the rst lters method for derivative-free nonlinear programming, based on pattern search methods. Motivated by this work we have de- veloped a new direct search method, based on simplex methods, for general constrained optimization, that combines the features of the simplex method and lters method. This work presents a new variant of these methods which combines the lters method with other direct search methods and are proposed some alternatives to aggregate the constraint violation functions.

Structured minimal-memory inexact quasi-Newton method and secant preconditioners for augmented Lagrangian optimization

Augmented Lagrangian methods for large-scale optimization usually require efficient algorithms for minimization with box constraints. On the other hand, active-set box-constraint methods employ unconstrained optimization algorithms for minimization inside the faces of the box. Several approaches may be employed for computing internal search directions in the large-scale case. In this paper a minimal-memory quasi-Newton approach with secant preconditioners is proposed, taking into account the structure of Augmented Lagrangians that come from the popular Powell-Hestenes-Rockafellar scheme. A combined algorithm, that uses the quasi-Newton formula or a truncated-Newton procedure, depending on the presence of active constraints in the penalty-Lagrangian function, is also suggested. Numerical experiments using the Cute collection are presented.

On the resolution of the generalized nonlinear complementarity problem

Minimization of a differentiable function subject to box constraints is proposed as a strategy to solve the generalized nonlinear complementarity problem (GNCP) defined on a polyhedral cone. It is not necessary to calculate projections that complicate and sometimes even disable the implementation of algorithms for solving these kinds of problems. Theoretical results that relate stationary points of the function that is minimized to the solutions of the GNCP are presented. Perturbations of the GNCP are also considered, and results are obtained related to the resolution of GNCPs with very general assumptions on the data. These theoretical results show that local methods for box-constrained optimization applied to the associated problem are efficient tools for solving the GNCP. Numerical experiments are presented that encourage the use of this approach.

Bound constrained smooth optimization for solving variational inequalities and related problems

Variational inequalities and related problems may be solved via smooth bound constrained optimization. A comprehensive discussion of the important features involved with this strategy is presented. Complementarity problems and mathematical programming problems with equilibrium constraints are included in this report. Numerical experiments are commented. Conclusions and directions of future research are indicated.

The cross-entropy method for continuous multi-extremal optimization

In recent years, the cross-entropy method has been successfully applied to a wide range of discrete optimization tasks. In this paper we consider the cross-entropy method in the context of continuous optimization. We demonstrate the effectiveness of the cross-entropy method for solving difficult continuous multi-extremal optimization problems, including those with non-linear constraints.