Comparative studies on non-convex optimization methods for transmission network expansion planning

We have investigated and extensively tested three families of non-convex optimization approaches for solving the transmission network expansion planning problem: simulated annealing (SA), genetic algorithms (GA), and tabu search algorithms (TS). The paper compares the main features of the three approaches and presents an integrated view of these methodologies. A hybrid approach is then proposed which presents performances which are far better than the ones obtained with any of these approaches individually. Results obtained in tests performed with large scale real-life networks are summarized.

Comparative studies on non-convex optimization methods for transmission network expansion planning

We have investigated and extensively tested three families of non-convex optimization approaches for solving the transmission network expansion planning problem: simulated annealing (SA), genetic algorithms (GA), and tabu search algorithms (TS). The paper compares the main features of the three approaches and presents an integrated view of these methodologies. A hybrid approach is then proposed which presents performances which are far better than the ones obtained with any of these approaches individually. Results obtained in tests performed with large scale real-life networks are summarized.

Optimal uncertainty quantification via convex optimization and relaxation

Many engineering applications face the problem of bounding the expected value of a quantity of interest (performance, risk, cost, etc.) that depends on stochastic uncertainties whose probability distribution is not known exactly. Optimal uncertainty quantification (OUQ) is a framework that aims at obtaining the best bound in these situations by explicitly incorporating available information about the distribution. Unfortunately, this often leads to non-convex optimization problems that are numerically expensive to solve.

This thesis emphasizes on efficient numerical algorithms for OUQ problems. It begins by investigating several classes of OUQ problems that can be reformulated as convex optimization problems. Conditions on the objective function and information constraints under which a convex formulation exists are presented. Since the size of the optimization problem can become quite large, solutions for scaling up are also discussed. Finally, the capability of analyzing a practical system through such convex formulations is demonstrated by a numerical example of energy storage placement in power grids.

When an equivalent convex formulation is unavailable, it is possible to find a convex problem that provides a meaningful bound for the original problem, also known as a convex relaxation. As an example, the thesis investigates the setting used in Hoeffding's inequality. The naive formulation requires solving a collection of non-convex polynomial optimization problems whose number grows doubly exponentially. After structures such as symmetry are exploited, it is shown that both the number and the size of the polynomial optimization problems can be reduced significantly. Each polynomial optimization problem is then bounded by its convex relaxation using sums-of-squares. These bounds are found to be tight in all the numerical examples tested in the thesis and are significantly better than Hoeffding's bounds.

Non-linear Transceiver Designs with Imperfect CSIT Using Convex Optimization

In this paper, we consider non-linear transceiver designs for multiuser multi-input multi-output (MIMO) down-link in the presence of imperfections in the channel state information at the transmitter (CSIT). The base station (BS) is equipped with multiple transmit antennas and each user terminal is equipped with multiple receive antennas. The BS employs Tomlinson-Harashima precoding (THP) for inter-user interference pre-cancellation at the transmitter. We investigate robust THP transceiver designs based on the minimization of BS transmit power with mean square error (MSE) constraints, and balancing of MSE among users with a constraint on the total BS transmit power. We show that these design problems can be solved by iterative algorithms, wherein each iteration involves a pair of convex optimization problems. The robustness of the proposed algorithms to imperfections in CSIT is illustrated through simulations.

Fuzzy clustering of non-convex patterns using global optimization

This paper discusses various extensions of the classical within-group sum of squared errors functional, routinely used as the clustering criterion. Fuzzy c-means algorithm is extended to the case when clusters have irregular shapes, by representing the clusters with more than one prototype. The resulting minimization problem is non-convex and non-smooth. A recently developed cutting angle method of global optimization is applied to this difficult problem

Density based fuzzy c-means clustering of non-convex patterns

We propose a new technique to perform unsupervised data classification (clustering) based on density induced metric and non-smooth optimization. Our goal is to automatically recognize multidimensional clusters of non-convex shape. We present a modification of the fuzzy c-means algorithm, which uses the data induced metric, defined with the help of Delaunay triangulation. We detail computation of the distances in such a metric using graph algorithms. To find optimal positions of cluster prototypes we employ the discrete gradient method of non-smooth optimization. The new clustering method is capable to identify non-convex overlapped d-dimensional clusters.

Non-smooth optimization methods for computation of the conditional value-at-risk and portfolio optimization

We examine numerical performance of various methods of calculation of the Conditional Value-at-risk (CVaR), and portfolio optimization with respect to this risk measure. We concentrate on the method proposed by Rockafellar and Uryasev in (Rockafellar, R.T. and Uryasev, S., 2000, Optimization of conditional value-at-risk. Journal of Risk, 2, 21-41), which converts this problem to that of convex optimization. We compare the use of linear programming techniques against a non-smooth optimization method of the discrete gradient, and establish the supremacy of the latter. We show that non-smooth optimization can be used efficiently for large portfolio optimization, and also examine parallel execution of this method on computer clusters.

Global non-smooth optimization in robust multivariate regression

Robust regression in statistics leads to challenging optimization problems. Here, we study one such problem, in which the objective is non-smooth, non-convex and expensive to calculate. We study the numerical performance of several derivative-free optimization algorithms with the aim of computing robust multivariate estimators. Our experiences demonstrate that the existing algorithms often fail to deliver optimal solutions. We introduce three new methods that use Powell's derivative-free algorithm. The proposed methods are reliable and can be used when processing very large data sets containing outliers.

A Convex Optimization Framework for Almost Budget Balanced Allocation of a Divisible Good

We address the problem of allocating a single divisible good to a number of agents. The agents have concave valuation functions parameterized by a scalar type. The agents report only the type. The goal is to find allocatively efficient, strategy proof, nearly budget balanced mechanisms within the Groves class. Near budget balance is attained by returning as much of the received payments as rebates to agents. Two performance criteria are of interest: the maximum ratio of budget surplus to efficient surplus, and the expected budget surplus, within the class of linear rebate functions. The goal is to minimize them. Assuming that the valuation functions are known, we show that both problems reduce to convex optimization problems, where the convex constraint sets are characterized by a continuum of half-plane constraints parameterized by the vector of reported types. We then propose a randomized relaxation of these problems by sampling constraints. The relaxed problem is a linear programming problem (LP). We then identify the number of samples needed for ``near-feasibility'' of the relaxed constraint set. Under some conditions on the valuation function, we show that value of the approximate LP is close to the optimal value. Simulation results show significant improvements of our proposed method over the Vickrey-Clarke-Groves (VCG) mechanism without rebates. In the special case of indivisible goods, the mechanisms in this paper fall back to those proposed by Moulin, by Guo and Conitzer, and by Gujar and Narahari, without any need for randomization. Extension of the proposed mechanisms to situations when the valuation functions are not known to the central planner are also discussed. Note to Practitioners-Our results will be useful in all resource allocation problems that involve gathering of information privately held by strategic users, where the utilities are any concave function of the allocations, and where the resource planner is not interested in maximizing revenue, but in efficient sharing of the resource. Such situations arise quite often in fair sharing of internet resources, fair sharing of funds across departments within the same parent organization, auctioning of public goods, etc. We study methods to achieve near budget balance by first collecting payments according to the celebrated VCG mechanism, and then returning as much of the collected money as rebates. Our focus on linear rebate functions allows for easy implementation. The resulting convex optimization problem is solved via relaxation to a randomized linear programming problem, for which several efficient solvers exist. This relaxation is enabled by constraint sampling. Keeping practitioners in mind, we identify the number of samples that assures a desired level of ``near-feasibility'' with the desired confidence level. Our methodology will occasionally require subsidy from outside the system. We however demonstrate via simulation that, if the mechanism is repeated several times over independent instances, then past surplus can support the subsidy requirements. We also extend our results to situations where the strategic users' utility functions are not known to the allocating entity, a common situation in the context of internet users and other problems.

A Polymatroid Approach to Separable Convex Optimization with Linear Ascending Constraints

We revisit a problem studied by Padakandla and Sundaresan SIAM J. Optim., August 2009] on the minimization of a separable convex function subject to linear ascending constraints. The problem arises as the core optimization in several resource allocation problems in wireless communication settings. It is also a special case of an optimization of a separable convex function over the bases of a specially structured polymatroid. We give an alternative proof of the correctness of the algorithm of Padakandla and Sundaresan. In the process we relax some of their restrictions placed on the objective function.

Minimum maneuver time calculation using convex optimization

The problem of calculating the minimum lap or maneuver time of a nonlinear vehicle, which is linearized at each time step, is formulated as a convex optimization problem. The formulation provides an alternative to previously used quasi-steady-state analysis or nonlinear optimization. Key steps are: the use of model predictive control; expressing the minimum time problem as one of maximizing distance traveled along the track centerline; and linearizing the track and vehicle trajectories by expressing them as small displacements from a fixed reference. A consequence of linearizing the vehicle dynamics is that nonoptimal steering control action can be generated, but attention to the constraints and the cost function minimizes the effect. Optimal control actions and vehicle responses for a 90 deg bend are presented and compared to the nonconvex nonlinear programming solution. Copyright © 2013 by ASME.

On the Behavior of the Homogeneous Self-Dual Model for Conic Convex Optimization

There is a natural norm associated with a starting point of the homogeneous self-dual (HSD) embedding model for conic convex optimization. In this norm two measures of the HSD model’s behavior are precisely controlled independent of the problem instance: (i) the sizes of ε-optimal solutions, and (ii) the maximum distance of ε-optimal solutions to the boundary of the cone of the HSD variables. This norm is also useful in developing a stopping-rule theory for HSD-based interior-point methods such as SeDuMi. Under mild assumptions, we show that a standard stopping rule implicitly involves the sum of the sizes of the ε-optimal primal and dual solutions, as well as the size of the initial primal and dual infeasibility residuals. This theory suggests possible criteria for developing starting points for the homogeneous self-dual model that might improve the resulting solution time in practice

Non-convex dynamic economic/environmental dispatch with plug-in electric vehicle loads

Electric vehicles are a key prospect for future transportation. A large penetration of electric vehicles has the potential to reduce the global fossil fuel consumption and hence the greenhouse gas emissions and air pollution. However, the additional stochastic loads imposed by plug-in electric vehicles will possibly introduce significant changes to existing load profiles. In his paper, electric vehicles loads are integrated into an 5-unit system using a non-convex dynamic dispatch model. The actual infrastructure characteristics including valve-point effects, load balance constrains and transmission loss have been included in the model. Multiple load profiles are comparatively studied and compared in terms of economic and environmental impacts in order o identify patterns to charge properly. The study as expected shows ha off-peak charging is the best scenario with respect to using less fuels and producing less emissions.