Matrix Minor Reformulation and SOCP-based Spatial Branch-and-Cut Method for the AC Optimal Power Flow Problem

Alternating current optimal power flow (AC OPF) is one of the most fundamental optimization problems in electrical power systems. It can be formulated as a semidefinite program (SDP) with rank constraints. Solving AC OPF, that is, obtaining near optimal primal solutions as well as high quality dual bounds for this non-convex program, presents a major computational challenge to today's power industry for the real-time operation of large-scale power grids. In this paper, we propose a new technique for reformulation of the rank constraints using both principal and non-principal 2-by-2 minors of the involved Hermitian matrix variable and characterize all such minors into three types. We show the equivalence of these minor constraints to the physical constraints of voltage angle differences summing to zero over three- and four-cycles in the power network. We study second-order conic programming (SOCP) relaxations of this minor reformulation and propose strong cutting planes, convex envelopes, and bound tightening techniques to strengthen the resulting SOCP relaxations. We then propose an SOCP-based spatial branch-and-cut method to obtain the global optimum of AC OPF. Extensive computational experiments show that the proposed algorithm significantly outperforms the state-of-the-art SDP-based OPF solver and on a simple personal computer is able to obtain on average a 0.71% optimality gap in no more than 720 seconds for the most challenging power system instances in the literature

Extended Formulations in Mixed-integer Convex Programming

We present a unifying framework for generating extended formulations for the polyhedral outer approximations used in algorithms for mixed-integer convex programming (MICP). Extended formulations lead to fewer iterations of outer approximation algorithms and generally faster solution times. First, we observe that all MICP instances from the MINLPLIB2 benchmark library are conic representable with standard symmetric and nonsymmetric cones. Conic reformulations are shown to be effective extended formulations themselves because they encode separability structure. For mixed-integer conic-representable problems, we provide the first outer approximation algorithm with finite-time convergence guarantees, opening a path for the use of conic solvers for continuous relaxations. We then connect the popular modeling framework of disciplined convex programming (DCP) to the existence of extended formulations independent of conic representability. We present evidence that our approach can yield significant gains in practice, with the solution of a number of open instances from the MINLPLIB2 benchmark library.Comment: To be presented at IPCO 201

MINLP model for work and heat exchange networks synthesis considering unclassified streams

The optimal synthesis of work and heat exchange networks (WHENs) is deeply important to achieve simultaneously high energy efficiency and low costs in chemical processes via work and heat integration of process streams. This paper presents an efficient MINLP model for optimal WHENs synthesis derived from a superstructure that considers unclassified streams. The derived model is solved using BARON global optimization solver. The superstructure considers multi-staged heat integration with isothermal mixing, temperature adjustment with hot or cold utility, and work exchange network for streams that are not classified a priori. The leading advantage of the present optimization model is the capability of defining the temperature and pressure route, i.e. heating up, cooling down, expanding, or compressing, of a process stream entirely during optimization while still being eligible for global optimization. The present approach is tested to a small-scale WHEN problem and the result surpassed the ones from the literature.The authors LFS, CBBC, and MASSR acknowledge the National Council for Scientific and Technological Development – CNPq (Brazil), processes 148184/2019-7, 440047/2019-6, 311807/2018-6, 428650/2018-0, and Coordination for the Improvement of Higher Education Personnel – CAPES (Brazil) for the financial support. The author JAC acknowledge financial support from the “Generalitat Valenciana” under project PROMETEO 2020/064

Nonlinear model predictive control based on Bernstein global optimization with application to a nonlinear CSTR

© 2016 EUCA. We present a model predictive control based tracking problem for nonlinear systems based on global optimization. Specifically, we introduce a 'Bernstein global optimization' procedure and demonstrate its applicability to the aforementioned control problem. This Bernstein global optimization procedure is applied to predictive control of a nonlinear CSTR system. Its strength and benefits are compared with those of a sub-optimal procedure, as implemented in MATLAB using fmincon function, and two well established global optimization procedures, BARON and BMIBNB.National Research Foundation, Singapore

A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection

We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion. In order to solve the POPs of high degree, we develop a cutting-plane algorithm based on semidefinite programming. Our algorithm can solve problems that can not be handled by any of known polynomial optimization solvers.Multi-period portfolio optimization;Polynomial optimization problem;Constant rebalancing;Semidefinite programming;Mean-variance criterion