A parametric integer programming algorithm for bilevel mixed integer programs

We consider discrete bilevel optimization problems where the follower solves an integer program with a fixed number of variables. Using recent results in parametric integer programming, we present polynomial time algorithms for pure and mixed integer bilevel problems. For the mixed integer case where the leader's variables are continuous, our algorithm also detects whether the infimum cost fails to be attained, a difficulty that has been identified but not directly addressed in the literature. In this case it yields a ``better than fully polynomial time'' approximation scheme with running time polynomial in the logarithm of the relative precision. For the pure integer case where the leader's variables are integer, and hence optimal solutions are guaranteed to exist, we present two algorithms which run in polynomial time when the total number of variables is fixed.Comment: 11 page

Fast Non-Parametric Learning to Accelerate Mixed-Integer Programming for Online Hybrid Model Predictive Control

Today's fast linear algebra and numerical optimization tools have pushed the frontier of model predictive control (MPC) forward, to the efficient control of highly nonlinear and hybrid systems. The field of hybrid MPC has demonstrated that exact optimal control law can be computed, e.g., by mixed-integer programming (MIP) under piecewise-affine (PWA) system models. Despite the elegant theory, online solving hybrid MPC is still out of reach for many applications. We aim to speed up MIP by combining geometric insights from hybrid MPC, a simple-yet-effective learning algorithm, and MIP warm start techniques. Following a line of work in approximate explicit MPC, the proposed learning-control algorithm, LNMS, gains computational advantage over MIP at little cost and is straightforward for practitioners to implement

IMITATOR II: A Tool for Solving the Good Parameters Problem in Timed Automata

We present here Imitator II, a new version of Imitator, a tool implementing the "inverse method" for parametric timed automata: given a reference valuation of the parameters, it synthesizes a constraint such that, for any valuation satisfying this constraint, the system behaves the same as under the reference valuation in terms of traces, i.e., alternating sequences of locations and actions. Imitator II also implements the "behavioral cartography algorithm", allowing us to solve the following good parameters problem: find a set of valuations within a given bounded parametric domain for which the system behaves well. We present new features and optimizations of the tool, and give results of applications to various examples of asynchronous circuits and communication protocols.Comment: In Proceedings INFINITY 2010, arXiv:1010.611

Optimal web-scale tiering as a flow problem

We present a fast online solver for large scale parametric max-flow problems as they occur in portfolio optimization, inventory management, computer vision, and logistics. Our algorithm solves an integer linear program in an online fashion. It exploits total unimodularity of the constraint matrix and a Lagrangian relaxation to solve the problem as a convex online game. The algorithm generates approximate solutions of max-flow problems by performing stochastic gradient descent on a set of flows. We apply the algorithm to optimize tier arrangement of over 84 million web pages on a layered set of caches to serve an incoming query stream optimally

A Finite-Time Cutting Plane Algorithm for Distributed Mixed Integer Linear Programming

Many problems of interest for cyber-physical network systems can be formulated as Mixed Integer Linear Programs in which the constraints are distributed among the agents. In this paper we propose a distributed algorithm to solve this class of optimization problems in a peer-to-peer network with no coordinator and with limited computation and communication capabilities. In the proposed algorithm, at each communication round, agents solve locally a small LP, generate suitable cutting planes, namely intersection cuts and cost-based cuts, and communicate a fixed number of active constraints, i.e., a candidate optimal basis. We prove that, if the cost is integer, the algorithm converges to the lexicographically minimal optimal solution in a finite number of communication rounds. Finally, through numerical computations, we analyze the algorithm convergence as a function of the network size.Comment: 6 pages, 3 figure

On Robust Tie-line Scheduling in Multi-Area Power Systems

The tie-line scheduling problem in a multi-area power system seeks to optimize tie-line power flows across areas that are independently operated by different system operators (SOs). In this paper, we leverage the theory of multi-parametric linear programming to propose algorithms for optimal tie-line scheduling within a deterministic and a robust optimization framework. Through a coordinator, the proposed algorithms are proved to converge to the optimal schedule within a finite number of iterations. A key feature of the proposed algorithms, besides their finite step convergence, is the privacy of the information exchanges; the SO in an area does not need to reveal its dispatch cost structure, network constraints, or the nature of the uncertainty set to the coordinator. The performance of the algorithms is evaluated using several power system examples