21,464 research outputs found
Beyond Chance-Constrained Convex Mixed-Integer Optimization: A Generalized Calafiore-Campi Algorithm and the notion of -optimization
The scenario approach developed by Calafiore and Campi to attack
chance-constrained convex programs utilizes random sampling on the uncertainty
parameter to substitute the original problem with a representative continuous
convex optimization with convex constraints which is a relaxation of the
original. Calafiore and Campi provided an explicit estimate on the size of
the sampling relaxation to yield high-likelihood feasible solutions of the
chance-constrained problem. They measured the probability of the original
constraints to be violated by the random optimal solution from the relaxation
of size .
This paper has two main contributions. First, we present a generalization of
the Calafiore-Campi results to both integer and mixed-integer variables. In
fact, we demonstrate that their sampling estimates work naturally for variables
restricted to some subset of . The key elements are
generalizations of Helly's theorem where the convex sets are required to
intersect . The size of samples in both algorithms will
be directly determined by the -Helly numbers.
Motivated by the first half of the paper, for any subset , we introduce the notion of an -optimization problem, where the
variables take on values over . It generalizes continuous, integer, and
mixed-integer optimization. We illustrate with examples the expressive power of
-optimization to capture sophisticated combinatorial optimization problems
with difficult modular constraints. We reinforce the evidence that
-optimization is "the right concept" by showing that the well-known
randomized sampling algorithm of K. Clarkson for low-dimensional convex
optimization problems can be extended to work with variables taking values over
.Comment: 16 pages, 0 figures. This paper has been revised and split into two
parts. This version is the second part of the original paper. The first part
of the original paper is arXiv:1508.02380 (the original article contained 24
pages, 3 figures
A scenario approach for non-convex control design
Randomized optimization is an established tool for control design with
modulated robustness. While for uncertain convex programs there exist
randomized approaches with efficient sampling, this is not the case for
non-convex problems. Approaches based on statistical learning theory are
applicable to non-convex problems, but they usually are conservative in terms
of performance and require high sample complexity to achieve the desired
probabilistic guarantees. In this paper, we derive a novel scenario approach
for a wide class of random non-convex programs, with a sample complexity
similar to that of uncertain convex programs and with probabilistic guarantees
that hold not only for the optimal solution of the scenario program, but for
all feasible solutions inside a set of a-priori chosen complexity. We also
address measure-theoretic issues for uncertain convex and non-convex programs.
Among the family of non-convex control- design problems that can be addressed
via randomization, we apply our scenario approach to randomized Model
Predictive Control for chance-constrained nonlinear control-affine systems.Comment: Submitted to IEEE Transactions on Automatic Contro
Chance Constrained Mixed Integer Program: Bilinear and Linear Formulations, and Benders Decomposition
In this paper, we study chance constrained mixed integer program with
consideration of recourse decisions and their incurred cost, developed on a
finite discrete scenario set. Through studying a non-traditional bilinear mixed
integer formulation, we derive its linear counterparts and show that they could
be stronger than existing linear formulations. We also develop a variant of
Jensen's inequality that extends the one for stochastic program. To solve this
challenging problem, we present a variant of Benders decomposition method in
bilinear form, which actually provides an easy-to-use algorithm framework for
further improvements, along with a few enhancement strategies based on
structural properties or Jensen's inequality. Computational study shows that
the presented Benders decomposition method, jointly with appropriate
enhancement techniques, outperforms a commercial solver by an order of
magnitude on solving chance constrained program or detecting its infeasibility
Proposed shunt rounding technique for large-scale security constrained loss minimization
The official published version can be obtained from the link below - Copyright @ 2010 IEEE.Optimal reactive power flow applications often model large numbers of discrete shunt devices as continuous variables, which are rounded to their nearest discrete value at the final iteration. This can degrade optimality. This paper presents novel methods based on probabilistic and adaptive threshold approaches that can extend existing security constrained optimal reactive power flow methods to effectively solve large-scale network problems involving discrete shunt devices. Loss reduction solutions from the proposed techniques were compared to solutions from the mixed integer nonlinear mathematical programming algorithm (MINLP) using modified IEEE standard networks up to 118 buses. The proposed techniques were also applied to practical large-scale network models of Great Britain. The results show that the proposed techniques can achieve improved loss minimization solutions when compared to the standard rounding method.This work was supported in part by the National Grid and in part by the EPSRC. Paper no. TPWRS-00653-2009
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