68 research outputs found

    Distributed Optimization with Application to Power Systems and Control

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    Mathematical optimization techniques are among the most successful tools for controlling technical systems optimally with feasibility guarantees. Yet, they are often centralized—all data has to be collected in one central and computationally powerful entity. Methods from distributed optimization overcome this limitation. Classical approaches, however, are often not applicable due to non-convexities. This work develops one of the first frameworks for distributed non-convex optimization

    On the capacity provisioning on dynamic networks

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    In this thesis, we consider the development of algorithms suitable for designing evacuation procedures in sparse or remote communities. The works are extensions of sink location problems on dynamic networks, which are motivated by real-life disaster events such as the Tohoku Japanese Tsunami, the Australian wildfire and many more. The available algorithms in this context consider the location of the sinks (safe-havens) with the assumptions that the evacuation by foot is possible, which is reasonable when immediate evacuation is needed in urban settings. However, for remote communities, emergency vehicles may need to be dispatched or situated strategically for an efficient evacuation process. With the assumption removed, our problems transform to the task of allocating capacities on the edges of dynamic networks given a budget capacity c. We first of all consider this problem on a dynamic path network of n vertices with the objective of minimizing the completion time (minmax criterion) given that the position of the sink is known. This leads to an O(nlogn + nlog(c/Ο)) time, where Ο is a refinement or precision parameter for an additional binary search in the worst case scenario. Next, we extend the problem to star topologies. The case where the sink is located at the middle of the star network follows the same approach for the path network. However, when the sink is located on a leaf node, the problem becomes more complicated when the number of links (edges) exceeds three. The second phase of this thesis focuses on allocating capacities on the edges of dynamic path networks with the objective of minimizing the total evacuation time (minsum criterion) given the position of the sink and the budget (fixed) capacity. In general, minsum problems are more difficult than minmax problems in the context of sink location problems. Due to few combinatorial properties discovered together with the possibility of changing objective. function configuration in the course of the optimization process, we consider the development of numerical procedure which involves the use of sequential quadratic programming (SQP). The sequential quadratic programming employed allows the specification of an arbitrary initial capacities and also helps in monitoring the changing configuration of the objective function. We propose to consider these problems on more complex topolgies such as trees and general graph in future.NSERC Discovery Grants program. University of Lethbridge Graduate Research Award. Alberta Innovates Awar

    Convergence and variance reduction for stochastic differential equations in sampling and optimisation

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    Three problems that are linked by way of motivation are addressed in this work. In the first part of the thesis, we study the generalised Langevin equation for simulated annealing with the underlying goal of improving continuous-time dynamics for the problem of global optimisation of nonconvex functions. The main result in this part is on the convergence to the global optimum, which is shown using techniques from hypocoercivity given suitable assumptions on the nonconvex function. Alongside, we investigate numerically the problem of parameter tuning in the continuous-time equation. In the second part of the thesis, this last problem is addressed rigorously for the underdamped Langevin dynamics. In particular, a systematic procedure for finding the optimal friction matrix in the sampling problem is presented. We give an expression for the gradient of the asymptotic variance in terms of solutions to Poisson equations and present a working algorithm for approximating its value. Lastly, regularity of an associated semigroup, twice differentiable-in-space solutions to the Kolmogorov equation and weak numerical convergence rates of order one are shown for a class of stochastic differential equations with superlinearly growing, non-globally monotone coefficients. In the relation to the previous part, the results allow the use of Poisson equations for variations of Langevin dynamics not permissible before.Open Acces

    Convergence Analysis and Improvements for Projection Algorithms and Splitting Methods

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    Non-smooth convex optimization problems occur in all fields of engineering. A common approach to solving this class of problems is proximal algorithms, or splitting methods. These first-order optimization algorithms are often simple, well suited to solve large-scale problems and have a low computational cost per iteration. Essentially, they encode the solution to an optimization problem as a fixed point of some operator, and iterating this operator eventually results in convergence to an optimal point. However, as for other first order methods, the convergence rate is heavily dependent on the conditioning of the problem. Even though the per-iteration cost is usually low, the number of iterations can become prohibitively large for ill-conditioned problems, especially if a high accuracy solution is sought.In this thesis, a few methods for alleviating this slow convergence are studied, which can be divided into two main approaches. The first are heuristic methods that can be applied to a range of fixed-point algorithms. They are based on understanding typical behavior of these algorithms. While these methods are shown to converge, they come with no guarantees on improved convergence rates.The other approach studies the theoretical rates of a class of projection methods that are used to solve convex feasibility problems. These are problems where the goal is to find a point in the intersection of two, or possibly more, convex sets. A study of how the parameters in the algorithm affect the theoretical convergence rate is presented, as well as how they can be chosen to optimize this rate

    Efficient Real-Time Solutions for Nonlinear Model Predictive Control with Applications

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    Nonlinear Model Predictive Control is an advanced optimisation methodology widely used for developing optimal Feedback Control Systems that use mathematical models of dynamical systems to predict and optimise their future performance. Its popularity comes from its general ability to handle a wide range of challenges present when developing control systems such as input/output constraints, complex nonlinear dynamics multi-variable systems, dynamic systems with significant delays as well as handling of uncertainty, disturbances and fault-tolerance. One of the main and most important challenges is the computational burden associated with the optimisation, particularly when attempting to implement the underlying methods in fast/real-time systems. To tackle this, recent research has been focused on developing efficient real-time solutions or strategies that could be used to overcome this problem. In this case, efficiency may come in various different ways from mathematical simplifications, to fast optimisation solvers, special algorithms and hardware, as well as tailored auto-generated coding tool-kits which help to make an efficient overall implementation of these type of approaches. This thesis addresses this fundamental problem by proposing a wide variety of methods that could serve as alternatives from which the final user can choose from depending on the requirements specific to the application. The proposed approaches focus specifically of developing efficient real-time NMPC methods which have a significantly reduced computational burden whilst preserving desirable properties of standard NMPC such as nominal stability, recursive feasibility guarantees, good performance, as well as adequate numeric conditioning for their use in platforms with reduced numeric precision such as ``floats'' subject to certain conditions being met. One of the specific aims of this work is to obtain faster solutions than the popular ACADO toolkit, in particular when using condensing-based NMPC solutions under the Real-Time Iteration Scheme, considered for all practical purposes the state-of-the-art standard real-time solution to which all the approaches will be bench-marked against. Moreover, part of the work of this thesis uses the concept of ``auto-generation'' for developing similar tool-kits that apply the proposed approaches. To achieve this, the developed tool-kits were supported by the Eigen 3 library which were observed to result in even better computation times than the ACADO toolkit. Finally, although the work undertaking by this thesis does not look into robust control approaches, the developed methods could be used for improving the performance of the underlying ``online'' optimisation, eg. by being able to perform additional iterations of the underlying SQP optimisation, as well as be used in common robust frameworks where multi-model systems must be simultaneously optimised in real-time. Thus, future work will look into merging the proposed methods with other existing strategies to give an even wider range of alternatives to the final user

    Fragments d'Optimisation Différentiable - Théories et Algorithmes

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    MasterLecture Notes (in French) of optimization courses given at ENSTA (Paris, next Saclay), ENSAE (Paris) and at the universities Paris I, Paris VI and Paris Saclay (979 pages).Syllabus d’enseignements délivrés à l’ENSTA (Paris, puis Saclay), à l’ENSAE (Paris) et aux universités Paris I, Paris VI et Paris Saclay (979 pages)

    A trust region-type normal map-based semismooth Newton method for nonsmooth nonconvex composite optimization

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    We propose a novel trust region method for solving a class of nonsmooth and nonconvex composite-type optimization problems. The approach embeds inexact semismooth Newton steps for finding zeros of a normal map-based stationarity measure for the problem in a trust region framework. Based on a new merit function and acceptance mechanism, global convergence and transition to fast local q-superlinear convergence are established under standard conditions. In addition, we verify that the proposed trust region globalization is compatible with the Kurdyka-{\L}ojasiewicz (KL) inequality yielding finer convergence results. We further derive new normal map-based representations of the associated second-order optimality conditions that have direct connections to the local assumptions required for fast convergence. Finally, we study the behavior of our algorithm when the Hessian matrix of the smooth part of the objective function is approximated by BFGS updates. We successfully link the KL theory, properties of the BFGS approximations, and a Dennis-Mor{\'e}-type condition to show superlinear convergence of the quasi-Newton version of our method. Numerical experiments on sparse logistic regression and image compression illustrate the efficiency of the proposed algorithm.Comment: 56 page
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