A derivative-free approach for a simulation-based optimization problem in healthcare

Hospitals have been challenged in recent years to deliver high quality care with limited resources. Given the pressure to contain costs,developing procedures for optimal resource allocation becomes more and more critical in this context. Indeed, under/overutilization of emergency room and ward resources can either compromise a hospital's ability to provide the best possible care, or result in precious funding going toward underutilized resources. Simulation--based optimization tools then help facilitating the planning and management of hospital services, by maximizing/minimizing some specific indices (e.g. net profit) subject to given clinical and economical constraints. In this work, we develop a simulation--based optimization approach for the resource planning of a specific hospital ward. At each step, we first consider a suitably chosen resource setting and evaluate both efficiency and satisfaction of the restrictions by means of a discrete--event simulation model. Then, taking into account the information obtained by the simulation process, we use a derivative--free optimization algorithm to modify the given setting. We report results for a real--world problem coming from the obstetrics ward of an Italian hospital showing both the effectiveness and the efficiency of the proposed approach

Algorithm for Optimal Mode Scheduling in Switched Systems

This paper considers the problem of computing the schedule of modes in a switched dynamical system, that minimizes a cost functional defined on the trajectory of the system's continuous state variable. A recent approach to such optimal control problems consists of algorithms that alternate between computing the optimal switching times between modes in a given sequence, and updating the mode-sequence by inserting to it a finite number of new modes. These algorithms have an inherent inefficiency due to their sparse update of the mode-sequences, while spending most of the computing times on optimizing with respect to the switching times for a given mode-sequence. This paper proposes an algorithm that operates directly in the schedule space without resorting to the timing optimization problem. It is based on the Armijo step size along certain Gateaux derivatives of the performance functional, thereby avoiding some of the computational difficulties associated with discrete scheduling parameters. Its convergence to local minima as well as its rate of convergence are proved, and a simulation example on a nonlinear system exhibits quite a fast convergence

Self-consistent solution of Kohn-Sham equations for infinitely extended systems with inhomogeneous electron gas

The density functional approach in the Kohn-Sham approximation is widely used to study properties of many-electron systems. Due to the nonlinearity of the Kohn-Sham equations, the general self-consistence searching method involves iterations with alternate solving of the Poisson and Schr\"{o}dinger equations. One of problems of such an approach is that the charge distribution renewed by means of the Schr\"{o}dinger equation solution does not conform to boundary conditions of Poisson equation for Coulomb potential. The resulting instability or even divergence of iterations manifests itself most appreciably in the case of infinitely extended systems. The published attempts to deal with this problem are reduced in fact to abandoning the original iterative method and replacing it with some approximate calculation scheme, which is usually semi-empirical and does not permit to evaluate the extent of deviation from the exact solution. In this work, we realize the iterative scheme of solving the Kohn-Sham equations for extended systems with inhomogeneous electron gas, which is based on eliminating the long-range character of Coulomb interaction as the cause of tight coupling between charge distribution and boundary conditions. The suggested algorithm is employed to calculate energy spectrum, self-consistent potential, and electrostatic capacitance of the semi-infinite degenerate electron gas bounded by infinitely high barrier, as well as the work function and surface energy of simple metals in the jellium model. The difference between self-consistent Hartree solutions and those taking into account the exchange-correlation interaction is analyzed. The case study of the metal-semiconductor tunnel contact shows this method being applied to an infinitely extended system where the steady-state current can flow.Comment: 38 pages, 9 figures, to be published in ZhETF (J. Exp. Theor. Phys.

Accelerating Asymptotically Exact MCMC for Computationally Intensive Models via Local Approximations

We construct a new framework for accelerating Markov chain Monte Carlo in posterior sampling problems where standard methods are limited by the computational cost of the likelihood, or of numerical models embedded therein. Our approach introduces local approximations of these models into the Metropolis-Hastings kernel, borrowing ideas from deterministic approximation theory, optimization, and experimental design. Previous efforts at integrating approximate models into inference typically sacrifice either the sampler's exactness or efficiency; our work seeks to address these limitations by exploiting useful convergence characteristics of local approximations. We prove the ergodicity of our approximate Markov chain, showing that it samples asymptotically from the \emph{exact} posterior distribution of interest. We describe variations of the algorithm that employ either local polynomial approximations or local Gaussian process regressors. Our theoretical results reinforce the key observation underlying this paper: when the likelihood has some \emph{local} regularity, the number of model evaluations per MCMC step can be greatly reduced without biasing the Monte Carlo average. Numerical experiments demonstrate multiple order-of-magnitude reductions in the number of forward model evaluations used in representative ODE and PDE inference problems, with both synthetic and real data.Comment: A major update of the theory and example

A Subsampling Line-Search Method with Second-Order Results

In many contemporary optimization problems such as those arising in machine learning, it can be computationally challenging or even infeasible to evaluate an entire function or its derivatives. This motivates the use of stochastic algorithms that sample problem data, which can jeopardize the guarantees obtained through classical globalization techniques in optimization such as a trust region or a line search. Using subsampled function values is particularly challenging for the latter strategy, which relies upon multiple evaluations. On top of that all, there has been an increasing interest for nonconvex formulations of data-related problems, such as training deep learning models. For such instances, one aims at developing methods that converge to second-order stationary points quickly, i.e., escape saddle points efficiently. This is particularly delicate to ensure when one only accesses subsampled approximations of the objective and its derivatives. In this paper, we describe a stochastic algorithm based on negative curvature and Newton-type directions that are computed for a subsampling model of the objective. A line-search technique is used to enforce suitable decrease for this model, and for a sufficiently large sample, a similar amount of reduction holds for the true objective. By using probabilistic reasoning, we can then obtain worst-case complexity guarantees for our framework, leading us to discuss appropriate notions of stationarity in a subsampling context. Our analysis encompasses the deterministic regime, and allows us to identify sampling requirements for second-order line-search paradigms. As we illustrate through real data experiments, these worst-case estimates need not be satisfied for our method to be competitive with first-order strategies in practice