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.

Linguistic models for decision support

Linguistic modelling is a rather new branch of mathematics that is still undergoing rapid development. It is closely related to fuzzy set theory and fuzzy logic, but knowledge and experience from other fields of mathematics, as well as other fields of science including linguistics and behavioral sciences, is also necessary to build appropriate mathematical models. This topic has received considerable attention as it provides tools for mathematical representation of the most common means of human communication - natural language. Adding a natural language level to mathematical models can provide an interface between the mathematical representation of the modelled system and the user of the model - one that is sufficiently easy to use and understand, but yet conveys all the information necessary to avoid misinterpretations. It is, however, not a trivial task and the link between the linguistic and computational level of such models has to be established and maintained properly during the whole modelling process. In this thesis, we focus on the relationship between the linguistic and the mathematical level of decision support models. We discuss several important issues concerning the mathematical representation of meaning of linguistic expressions, their transformation into the language of mathematics and the retranslation of mathematical outputs back into natural language. In the first part of the thesis, our view of the linguistic modelling for decision support is presented and the main guidelines for building linguistic models for real-life decision support that are the basis of our modeling methodology are outlined. From the theoretical point of view, the issues of representation of meaning of linguistic terms, computations with these representations and the retranslation process back into the linguistic level (linguistic approximation) are studied in this part of the thesis. We focus on the reasonability of operations with the meanings of linguistic terms, the correspondence of the linguistic and mathematical level of the models and on proper presentation of appropriate outputs. We also discuss several issues concerning the ethical aspects of decision support - particularly the loss of meaning due to the transformation of mathematical outputs into natural language and the issue or responsibility for the final decisions. In the second part several case studies of real-life problems are presented. These provide background and necessary context and motivation for the mathematical results and models presented in this part. A linguistic decision support model for disaster management is presented here – formulated as a fuzzy linear programming problem and a heuristic solution to it is proposed. Uncertainty of outputs, expert knowledge concerning disaster response practice and the necessity of obtaining outputs that are easy to interpret (and available in very short time) are reflected in the design of the model. Saaty’s analytic hierarchy process (AHP) is considered in two case studies - first in the context of the evaluation of works of art, where a weak consistency condition is introduced and an adaptation of AHP for large matrices of preference intensities is presented. The second AHP case-study deals with the fuzzified version of AHP and its use for evaluation purposes – particularly the integration of peer-review into the evaluation of R&D outputs is considered. In the context of HR management, we present a fuzzy rule based evaluation model (academic faculty evaluation is considered) constructed to provide outputs that do not require linguistic approximation and are easily transformed into graphical information. This is achieved by designing a specific form of fuzzy inference. Finally the last case study is from the area of humanities - psychological diagnostics is considered and a linguistic fuzzy model for the interpretation of outputs of multidimensional questionnaires is suggested. The issue of the quality of data in mathematical classification models is also studied here. A modification of the receiver operating characteristics (ROC) method is presented to reflect variable quality of data instances in the validation set during classifier performance assessment. Twelve publications on which the author participated are appended as a third part of this thesis. These summarize the mathematical results and provide a closer insight into the issues of the practicalapplications that are considered in the second part of the thesis.

Evolving Distributed Algorithms with Genetic Programming

Distributed systems are one of the most vital components of the economy. The most prominent example is probably the internet, a constituent element of our knowledge society. During the recent years, the number of novel network types has steadily increased. Amongst others, sensor networks, distributed systems composed of tiny computational devices with scarce resources, have emerged. The further development and heterogeneous connection of such systems imposes new requirements on the software development process. Mobile and wireless networks, for instance, have to organize themselves autonomously and must be able to react to changes in the environment and to failing nodes alike. Researching new approaches for the design of distributed algorithms may lead to methods with which these requirements can be met efficiently. In this thesis, one such method is developed, tested, and discussed in respect of its practical utility. Our new design approach for distributed algorithms is based on Genetic Programming, a member of the family of evolutionary algorithms. Evolutionary algorithms are metaheuristic optimization methods which copy principles from natural evolution. They use a population of solution candidates which they try to refine step by step in order to attain optimal values for predefined objective functions. The synthesis of an algorithm with our approach starts with an analysis step in which the wanted global behavior of the distributed system is specified. From this specification, objective functions are derived which steer a Genetic Programming process where the solution candidates are distributed programs. The objective functions rate how close these programs approximate the goal behavior in multiple randomized network simulations. The evolutionary process step by step selects the most promising solution candidates and modifies and combines them with mutation and crossover operators. This way, a description of the global behavior of a distributed system is translated automatically to programs which, if executed locally on the nodes of the system, exhibit this behavior. In our work, we test six different ways for representing distributed programs, comprising adaptations and extensions of well-known Genetic Programming methods (SGP, eSGP, and LGP), one bio-inspired approach (Fraglets), and two new program representations called Rule-based Genetic Programming (RBGP, eRBGP) designed by us. We breed programs in these representations for three well-known example problems in distributed systems: election algorithms, the distributed mutual exclusion at a critical section, and the distributed computation of the greatest common divisor of a set of numbers. Synthesizing distributed programs the evolutionary way does not necessarily lead to the envisaged results. In a detailed analysis, we discuss the problematic features which make this form of Genetic Programming particularly hard. The two Rule-based Genetic Programming approaches have been developed especially in order to mitigate these difficulties. In our experiments, at least one of them (eRBGP) turned out to be a very efficient approach and in most cases, was superior to the other representations.

Binary integer programming formulations for scheduling in market-driven foundries

This paper describes the development and solution of binary integer formulations for production scheduling problems in market-driven foundries. This industrial sector is comprised of small and mid-sized companies with little or no automation, working with diversified production, involving several different metal alloy specifications in small tailor-made product lots. The characteristics and constraints involved in a typical production environment at these industries challenge the formulation of mathematical programming models that can be computationally solved when considering real applications. However, despite the interest on the part of these industries in counting on effective methods for production scheduling, there are few studies available on the subject. The computational tests prove the robustness and feasibility of proposed models in situations analogous to those found in production scheduling at the analyzed industrial sector. (C) 2010 Elsevier Ltd. All rights reserved.

Fuzzy environmental quality index

This paper presents the construction of a fuzzy environmental quality index for decision support in municipal environmental management. Five groups of indicators were selected in order to obtain an equation that best represented reality in terms of environmental quality. The calculation was carried out using fuzzy mathematical concepts, with the aid of the package Fuzzy Logical Toolbox 2.1 for Matlab ® 6.1, which provides functions and some applications of the theory of fuzzy sets. The work seeks to create a method of inference concerning the nature of urban areas that are unsustainable with respect to the environment, an issue that is often relegated to the background during public policy discussions. The development of this index, together with its implementation and dissemination, could improve public awareness of environmental issues, and promote mobilization towards the use of best practices in local development. © 2010 IEEE.

Application of an iterative method and an evolutionary algorithm in fuzzy optimization

This work develops two approaches based on the fuzzy set theory to solve a class of fuzzy mathematical optimization problems with uncertainties in the objective function and in the set of constraints. The first approach is an adaptation of an iterative method that obtains cut levels and later maximizes the membership function of fuzzy decision making using the bound search method. The second one is a metaheuristic approach that adapts a standard genetic algorithm to use fuzzy numbers. Both approaches use a decision criterion called satisfaction level that reaches the best solution in the uncertain environment. Selected examples from the literature are presented to compare and to validate the efficiency of the methods addressed, emphasizing the fuzzy optimization problem in some import-export companies in the south of Spain. © 2012 Brazilian Operations Research Society.

Programação por Metas, Análise por Envoltória de Dados e Teoria Fuzzy na avaliação da eficiência sob incerteza: aplicação em minifábricas do segmento de autopeças

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Mathematical Optimization Applied to Thermal and Electrical Energy Systems

This Thesis aims at building and discussing mathematical models applications focused on Energy problems, both on the thermal and electrical side. The objective is to show how mathematical programming techniques developed within Operational Research can give useful answers in the Energy Sector, how they can provide tools to support decision making processes of Companies operating in the Energy production and distribution and how they can be successfully used to make simulations and sensitivity analyses to better understand the state of the art and convenience of a particular technology by comparing it with the available alternatives. The first part discusses the fundamental mathematical background followed by a comprehensive literature review about mathematical modelling in the Energy Sector. The second part presents mathematical models for the District Heating strategic network design and incremental network design. The objective is the selection of an optimal set of new users to be connected to an existing thermal network, maximizing revenues, minimizing infrastructure and operational costs and taking into account the main technical requirements of the real world application. Results on real and randomly generated benchmark networks are discussed with particular attention to instances characterized by big networks dimensions. The third part is devoted to the development of linear programming models for optimal battery operation in off-grid solar power schemes, with consideration of battery degradation. The key contribution of this work is the inclusion of battery degradation costs in the optimisation models. As available data on relating degradation costs to the nature of charge/discharge cycles are limited, we concentrate on investigating the sensitivity of operational patterns to the degradation cost structure. The objective is to investigate the combination of battery costs and performance at which such systems become economic. We also investigate how the system design should change when battery degradation is taken into account.

Modelo preditivo fuzzy da mobilização do solo no sistema de plantio direto.

As culturas do milho e da soja respondem pela maior parte da produção nacional de grãos, predominando o sistema de plantio direto. Para uma semeadura direta de qualidade, o bom aterramento do sulco é indispensável, pois garante um ambiente adequado às sementes. Neste sentido, é importante estimar a mobilização de solo promovida por uma haste sulcadora estreita durante esta operação. O modelo analítico existente visa representar a mobilização do solo no sistema de plantio convencional. Como consequência, há situações em que este não pode se aplicado, como no caso de hastes sulcadoras estreitas utilizadas em semeadoras de plantio direto. Nestas situações, o mecanismo de falha do solo pode se alterar, assumindo um comportamento não modelado na literatura. Essa pesquisa propõe um modelo fuzzy capaz de representar estas situações, aproveitando conhecimento da teoria de mecânica dos solos e da análise de resultados experimentais. No modelo proposto, parte das regras descrevem situações não abrangidas pelo modelo analítico, as quais foram formuladas a partir da estimativa das prováveis áreas de solo mobilizado. O modelo fuzzy foi testado com dados de experimentos conduzidos durante a pesquisa, em duas condições de granulometria de solo (arenoso e argiloso). O modelo proposto reproduziu as tendências observadas nos dados experimentais, mas superestimou os valores de área observados, sendo esse efeito bem mais intenso para os dados do experimento em solo arenoso. A superestimativa ocorreu devido à soma de diversos fatores. Um deles é a diferença entre as leituras experimentais, as quais consideram apenas o solo realmente movimentado, e a premissa do modelo analítico, que considera toda a área de solo incluindo aquela cisalhada, porém não mobilizada. Outro fator foi devido ao efeito do disco de corte da palha, que pré-cisalha o solo à frente da ferramenta. No ensaio em solo arenoso os valores observados de área de solo mobilizado foram menores que os esperados, intensificando o efeito de superestimativa do modelo fuzzy, sendo que este efeito não representa uma deficiência deste modelo.

Robust linear semi-infinite programming duality under uncertainty

In this paper, we propose a duality theory for semi-infinite linear programming problems under uncertainty in the constraint functions, the objective function, or both, within the framework of robust optimization. We present robust duality by establishing strong duality between the robust counterpart of an uncertain semi-infinite linear program and the optimistic counterpart of its uncertain Lagrangian dual. We show that robust duality holds whenever a robust moment cone is closed and convex. We then establish that the closed-convex robust moment cone condition in the case of constraint-wise uncertainty is in fact necessary and sufficient for robust duality. In other words, the robust moment cone is closed and convex if and only if robust duality holds for every linear objective function of the program. In the case of uncertain problems with affinely parameterized data uncertainty, we establish that robust duality is easily satisfied under a Slater type constraint qualification. Consequently, we derive robust forms of the Farkas lemma for systems of uncertain semi-infinite linear inequalities.

Sistema de contagem com morfologia matemática fuzzy

Mathematical Morphology presents a systematic approach to extract geometric features of binary images, using morphological operators that transform the original image into another by means of a third image called structuring element and came out in 1960 by researchers Jean Serra and George Matheron. Fuzzy mathematical morphology extends the operators towards grayscale and color images and was initially proposed by Goetherian using fuzzy logic. Using this approach it is possible to make a study of fuzzy connectives, which allows some scope for analysis for the construction of morphological operators and their applicability in image processing. In this paper, we propose the development of morphological operators fuzzy using the R-implications for aid and improve image processing, and then to build a system with these operators to count the spores mycorrhizal fungi and red blood cells. It was used as the hypothetical-deductive methodologies for the part formal and incremental-iterative for the experimental part. These operators were applied in digital and microscopic images. The conjunctions and implications of fuzzy morphology mathematical reasoning will be used in order to choose the best adjunction to be applied depending on the problem being approached, i.e., we will use automorphisms on the implications and observe their influence on segmenting images and then on their processing. In order to validate the developed system, it was applied to counting problems in microscopic images, extending to pathological images. It was noted that for the computation of spores the best operator was the erosion of Gödel. It developed three groups of morphological operators fuzzy, Lukasiewicz, And Godel Goguen that can have a variety applications

Modelo de programação quadrática para análise da movimentação logística e comercialização da soja brasileira

The purpose of this work was to analyze the logistical distribution of Brazilian soybean by applying a quadratic programming to a spatial equilibrium model. The soybean transportation system is an important part of the soybean complex in Brazil, since the major part of the costs of this commodity derives from the transportation costs. Therefore, the optimization of this part of the process is essential to a better competitiveness of the Brazilian soybean in the international market. The Brazilian soybean complex have been increasing its agricultural share in the total of the exportation value in the last ten years, but due to other countries' investments the Brazilian exportations cannot be only focused on increasing its production but it still have to be more efficient. This way, a model was reached which can project new frames by switching the transportation costs and conduce the policy makers to new investments in the sector.

Planning and operation of large-scale water distribution systems with preemptive priorities

This paper describes the development of an optimization model for the management and operation of a large-scale, multireservoir water supply distribution system with preemptive priorities. The model considers multiobjectives and hedging rules. During periods of drought, when water supply is insufficient to meet the planned demand, appropriate rationing factors are applied to reduce water supply. In this paper, a water distribution system is formulated as a network and solved by the GAMS modeling system for mathematical programming and optimization. A user-friendly interface is developed to facilitate the manipulation of data and to generate graphs and tables for decision makers. The optimization model and its interface form a decision support system (DSS), which can be used to configure a water distribution system to facilitate capacity expansion and reliability studies. Several examples are presented to demonstrate the utility and versatility of the developed DSS under different supply and demand scenarios, including applications to one of the largest water supply systems in the world, the Sao Paulo Metropolitan Area Water Supply Distribution System in Brazil.

Pectinase production by solid fermentation from Aspergillus niger by a new prescription experiment

The Ordos Plateau in China is covered with up to 300,000 ha of peashrub (Caragana) which is the dominant natural vegetation and ideal for fodder production. To exploit peashrub fodder, it is crucially important to optimize the culture conditions, especially culture substrate to produce pectinase complex. In this study, a new prescription process was developed. The process, based on a uniform experimental design, first optimizes the solid substrate and second, after incubation, applies two different temperature treatments (30 degrees C for the first 30 h and 23 degrees C for the second 42 h) in the fermentation process. A multivariate regression analysis is applied to a number of independent variables (water, wheat bran, rice dextrose, ammonium sulfate, and Tween 80) to develop a predictive model of pectinase activity. A second-degree polynomial model is developed which accounts for an excellent proportion of the explained variation (R-2 = 97.7%). Using unconstrained mathematical programming, an optimized substrate prescription for pectinase production is subsequently developed. The mathematical analysis revealed that the optimal formula for pectinase production from Aspergillus niger by solid fermentation under the conditions of natural aeration, natural substrate pH (about 6.5), and environmental humidity of 60% is rice dextrose 8%, wheat bran 24%, ammonium sulfate ((NH4)(2)SO4) 6%, and water 61%. Tween 80 was found to have a negative effect on the production of pectinase in solid substrate. With this substrate prescription, pectinase produced by solid fermentation of A. niger reached 36.3IU/(gDM). Goats fed on the pectinase complex obtain an incremental increase of 0.47 kg day(-1) during the initial 25 days of feeding, which is a very promising new feeding prospect for the local peashrub. It is concluded that the new formula may be very useful for the sustainable development of and and semiarid pastures such as those of the Ordos Plateau. (c) 2005 Elsevier Inc. All rights reserved.

Solving a signalized traffic intersection problem with an hyperbolic penalty function

Mathematical Program with Complementarity Constraints (MPCC) finds many applications in fields such as engineering design, economic equilibrium and mathematical programming theory itself. A queueing system model resulting from a single signalized intersection regulated by pre-timed control in traffic network is considered. The model is formulated as an MPCC problem. A MATLAB implementation based on an hyperbolic penalty function is used to solve this practical problem, computing the total average waiting time of the vehicles in all queues and the green split allocation. The problem was codified in AMPL.