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.

Chance constrained uncertain classification via robust optimization

This paper studies the problem of constructing robust classifiers when the training is plagued with uncertainty. The problem is posed as a Chance-Constrained Program (CCP) which ensures that the uncertain data points are classified correctly with high probability. Unfortunately such a CCP turns out to be intractable. The key novelty is in employing Bernstein bounding schemes to relax the CCP as a convex second order cone program whose solution is guaranteed to satisfy the probabilistic constraint. Prior to this work, only the Chebyshev based relaxations were exploited in learning algorithms. Bernstein bounds employ richer partial information and hence can be far less conservative than Chebyshev bounds. Due to this efficient modeling of uncertainty, the resulting classifiers achieve higher classification margins and hence better generalization. Methodologies for classifying uncertain test data points and error measures for evaluating classifiers robust to uncertain data are discussed. Experimental results on synthetic and real-world datasets show that the proposed classifiers are better equipped to handle data uncertainty and outperform state-of-the-art in many cases.

A two timescale stochastic approximation scheme for simulation-based parametric optimization

A two timescale stochastic approximation scheme which uses coupled iterations is used for simulation-based parametric optimization as an alternative to traditional "infinitesimal perturbation analysis" schemes, It avoids the aggregation of data present in many other schemes. Its convergence is analyzed, and a queueing example is presented.

Multiscale stochastic approximation for parametric optimization of hidden Markov models

A two-time scale stochastic approximation algorithm is proposed for simulation-based parametric optimization of hidden Markov models, as an alternative to the traditional approaches to ''infinitesimal perturbation analysis.'' Its convergence is analyzed, and a queueing example is presented.

Stochastic Algorithms for Discrete Parameter Simulation Optimization

We present two efficient discrete parameter simulation optimization (DPSO) algorithms for the long-run average cost objective. One of these algorithms uses the smoothed functional approximation (SFA) procedure, while the other is based on simultaneous perturbation stochastic approximation (SPSA). The use of SFA for DPSO had not been proposed previously in the literature. Further, both algorithms adopt an interesting technique of random projections that we present here for the first time. We give a proof of convergence of our algorithms. Next, we present detailed numerical experiments on a problem of admission control with dependent service times. We consider two different settings involving parameter sets that have moderate and large sizes, respectively. On the first setting, we also show performance comparisons with the well-studied optimal computing budget allocation (OCBA) algorithm and also the equal allocation algorithm. Note to Practitioners-Even though SPSA and SFA have been devised in the literature for continuous optimization problems, our results indicate that they can be powerful techniques even when they are adapted to discrete optimization settings. OCBA is widely recognized as one of the most powerful methods for discrete optimization when the parameter sets are of small or moderate size. On a setting involving a parameter set of size 100, we observe that when the computing budget is small, both SPSA and OCBA show similar performance and are better in comparison to SFA, however, as the computing budget is increased, SPSA and SFA show better performance than OCBA. Both our algorithms also show good performance when the parameter set has a size of 10(8). SFA is seen to show the best overall performance. Unlike most other DPSO algorithms in the literature, an advantage with our algorithms is that they are easily implementable regardless of the size of the parameter sets and show good performance in both scenarios.

Relay Precoder Optimization in MIMO-Relay Networks With Imperfect CSI

In this paper, we consider robust joint designs of relay precoder and destination receive filters in a nonregenerative multiple-input multiple-output (MIMO) relay network. The network consists of multiple source-destination node pairs assisted by a MIMO-relay node. The channel state information (CSI) available at the relay node is assumed to be imperfect. We consider robust designs for two models of CSI error. The first model is a stochastic error (SE) model, where the probability distribution of the CSI error is Gaussian. This model is applicable when the imperfect CSI is mainly due to errors in channel estimation. For this model, we propose robust minimum sum mean square error (SMSE), MSE-balancing, and relay transmit power minimizing precoder designs. The next model for the CSI error is a norm-bounded error (NBE) model, where the CSI error can be specified by an uncertainty set. This model is applicable when the CSI error is dominated by quantization errors. In this case, we adopt a worst-case design approach. For this model, we propose a robust precoder design that minimizes total relay transmit power under constraints on MSEs at the destination nodes. We show that the proposed robust design problems can be reformulated as convex optimization problems that can be solved efficiently using interior-point methods. We demonstrate the robust performance of the proposed design through simulations.

Scenario Cluster Lagrangian Decomposition in two stage stochastic mixed 0-1 optimization

In this paper we introduce four scenario Cluster based Lagrangian Decomposition (CLD) procedures for obtaining strong lower bounds to the (optimal) solution value of two-stage stochastic mixed 0-1 problems. At each iteration of the Lagrangian based procedures, the traditional aim consists of obtaining the solution value of the corresponding Lagrangian dual via solving scenario submodels once the nonanticipativity constraints have been dualized. Instead of considering a splitting variable representation over the set of scenarios, we propose to decompose the model into a set of scenario clusters. We compare the computational performance of the four Lagrange multiplier updating procedures, namely the Subgradient Method, the Volume Algorithm, the Progressive Hedging Algorithm and the Dynamic Constrained Cutting Plane scheme for different numbers of scenario clusters and different dimensions of the original problem. Our computational experience shows that the CLD bound and its computational effort depend on the number of scenario clusters to consider. In any case, our results show that the CLD procedures outperform the traditional LD scheme for single scenarios both in the quality of the bounds and computational effort. All the procedures have been implemented in a C++ experimental code. A broad computational experience is reported on a test of randomly generated instances by using the MIP solvers COIN-OR and CPLEX for the auxiliary mixed 0-1 cluster submodels, this last solver within the open source engine COIN-OR. We also give computational evidence of the model tightening effect that the preprocessing techniques, cut generation and appending and parallel computing tools have in stochastic integer optimization. Finally, we have observed that the plain use of both solvers does not provide the optimal solution of the instances included in the testbed with which we have experimented but for two toy instances in affordable elapsed time. On the other hand the proposed procedures provide strong lower bounds (or the same solution value) in a considerably shorter elapsed time for the quasi-optimal solution obtained by other means for the original stochastic problem.

Composition Optimization of Tellurite Glass for Low-Loss and Robust Fiber Fabrication

低损耗高强度碲酸盐玻璃光纤用光学材料的优化方案

Time-dependent Hyperstar algorithm for robust vehicle navigation in time-dependent stochastic road networks.

The vehicle navigation problem studied in Bell (2009) is revisited and a time-dependent reverse Hyperstar algorithm is presented. This minimises the expected time of arrival at the destination, and all intermediate nodes, where expectation is based on a pessimistic (or risk-averse) view of unknown link delays. This may also be regarded as a hyperpath version of the Chabini and Lan (2002) algorithm, which itself is a time-dependent A* algorithm. Links are assigned undelayed travel times and maximum delays, both of which are potentially functions of the time of arrival at the respective link. The driver seeks probabilities for link use that minimise his/her maximum exposure to delay on the approach to each node, leading to the determination of the pessimistic expected time of arrival. Since the context considered is vehicle navigation where the driver is not making repeated trips, the probability of link use may be interpreted as a measure of link attractiveness, so a link with a zero probability of use is unattractive while a link with a probability of use equal to one will have no attractive alternatives. A solution algorithm is presented and proven to solve the problem provided the node potentials are feasible and a FIFO condition applies for undelayed link travel times. The paper concludes with a numerical example.

A soft robust model for optimization under ambiguity

In this paper, we propose a framework for robust optimization that relaxes the standard notion of robustness by allowing the decision maker to vary the protection level in a smooth way across the uncertainty set. We apply our approach to the problem of maximizing the expected value of a payoff function when the underlying distribution is ambiguous and therefore robustness is relevant. Our primary objective is to develop this framework and relate it to the standard notion of robustness, which deals with only a single guarantee across one uncertainty set. First, we show that our approach connects closely to the theory of convex risk measures. We show that the complexity of this approach is equivalent to that of solving a small number of standard robust problems. We then investigate the conservatism benefits and downside probability guarantees implied by this approach and compare to the standard robust approach. Finally, we illustrate theme thodology on an asset allocation example consisting of historical market data over a 25-year investment horizon and find in every case we explore that relaxing standard robustness with soft robustness yields a seemingly favorable risk-return trade-off: each case results in a higher out-of-sample expected return for a relatively minor degradation of out-of-sample downside performance. © 2010 INFORMS.