A new Ai-Zhang type interior point algorithm for sufficient linear complementarity problems

In this paper, we propose a new long-step interior point method for solving sufficient linear complementarity problems. The new algorithm combines two important approaches from the literature: the main ideas of the long-step interior point algorithm introduced by Ai and Zhang, and the algebraic equivalent transformation technique proposed by Darvay. Similarly to the method of Ai and Zhang, our algorithm also works in a wide neighbourhood of the central path and has the best known iteration complexity of short-step variants. We implemented the new method in Matlab and tested its efficiency on both sufficient and non-sufficient problem instances. In addition to presenting our numerical results, we also make some interesting observations regarding the analysis of Ai-Zhang type methods

A new long-step interior point algorithm for linear programming based on the algebraic equivalent transformation

In this paper, we investigate a new primal-dual long-step interior point algorithm for linear optimization. Based on the step-size, interior point algorithms can be divided into two main groups, short-step and long-step methods. In practice, long-step variants perform better, but usually, a better theoretical complexity can be achieved for the short-step methods. One of the exceptions is the large-update algorithm of Ai and Zhang. The new wide neighbourhood and the main characteristics of the presented algorithm are based on their approach. In addition, we use the algebraic equivalent transformation technique by Darvay to determine the search directions of the method

On inexact Newton directions in interior point methods for linear optimization

In each iteration of the interior point method (IPM) at least one linear system has to be solved. The main computational effort of IPMs consists in the computation of these linear systems. Solving the corresponding linear systems with a direct method becomes very expensive for large scale problems. In this thesis, we have been concerned with using an iterative method for solving the reduced KKT systems arising in IPMs for linear programming. The augmented system form of this linear system has a number of advantages, notably a higher degree of sparsity than the normal equations form. We design a block triangular preconditioner for this system which is constructed by using a nonsingular basis matrix identified from an estimate of the optimal partition in the linear program. We use the preconditioned conjugate gradients (PCG) method to solve the augmented system. Although the augmented system is indefinite, short recurrence iterative methods such as PCG can be applied to indefinite system in certain situations. This approach has been implemented within the HOPDM interior point solver. The KKT system is solved approximately. Therefore, it becomes necessary to study the convergence of IPM for this inexact case. We present the convergence analysis of the inexact infeasible path-following algorithm, prove the global convergence of this method and provide complexity analysis

Finding a point in the relative interior of a polyhedron

A new initialization or `Phase I' strategy for feasible interior point methods for linear programming is proposed that computes a point on the primal-dual central path associated with the linear program. Provided there exist primal-dual strictly feasible points - an all-pervasive assumption in interior point method theory that implies the existence of the central path - our initial method (Algorithm 1) is globally Q-linearly and asymptotically Q-quadratically convergent, with a provable worst-case iteration complexity bound. When this assumption is not met, the numerical behaviour of Algorithm 1 is highly disappointing, even when the problem is primal-dual feasible. This is due to the presence of implicit equalities, inequality constraints that hold as equalities at all the feasible points. Controlled perturbations of the inequality constraints of the primal-dual problems are introduced - geometrically equivalent to enlarging the primal-dual feasible region and then systematically contracting it back to its initial shape - in order for the perturbed problems to satisfy the assumption. Thus Algorithm 1 can successfully be employed to solve each of the perturbed problems.\ud We show that, when there exist primal-dual strictly feasible points of the original problems, the resulting method, Algorithm 2, finds such a point in a finite number of changes to the perturbation parameters. When implicit equalities are present, but the original problem and its dual are feasible, Algorithm 2 asymptotically detects all the primal-dual implicit equalities and generates a point in the relative interior of the primal-dual feasible set. Algorithm 2 can also asymptotically detect primal-dual infeasibility. Successful numerical experience with Algorithm 2 on linear programs from NETLIB and CUTEr, both with and without any significant preprocessing of the problems, indicates that Algorithm 2 may be used as an algorithmic preprocessor for removing implicit equalities, with theoretical guarantees of convergence

Techniques for solving Nonlinear Programming Problems with Emphasis on Interior Point Methods and Optimal Control Problems

The primary focus of this work is a thorough research into the current available techniques for solving nonlinear programming problems. Emphasis is placed on interior-point methods and the connection between optimal control problems and nonlinear programming is explored. The document contains a detailed discussion of nonlinear programming, introducing different methods used to find solutions to NLP problems and then describing a large variety of algorithms from the literature. These descriptions make use of a unified notation, highlighting key algorithmic differences between solvers. Specifically, the variations in problem formulation, chosen merit functions, ways of determining stepsize and dealing with nonconvexity are shown. Comparisons between reported results on standard test sets are made. The work also contains an understanding of optimal control problems, beginning with an introduction to Hamiltonians, based on their background in calculus of variations and Newtonian mechanics. Several small real-life problems are taken from the literature and it is shown that they can be modelled as optimal control problems so that Hamiltonian theory and Pontryagin's maximum principle can be used to solve them. This is followed by an explanation of how Runge-Kutta discretization schemes can be used to transform optimal control problems into nonlinear programs, making the wide range of NLP solvers available for their solution. A large focus of this work is on the interior point LP and QP solver hopdm. The aim has been to extend the solver so that the logic behind it can be used for solving nonlinear programming problems. The decisions which were made when converting hopdm into an nlp solver have been listed and explained. This includes a discussion of implementational details required for any interior point method, such as maintenance of centrality and choice of barrier parameter. hopdm has successfully been used as the basis for an SQP solver which is able to solve approximately 85% of the CUTE set and work has been carried out into extending it into an interior point NLP solver

Airborne Wind Energy - To fly or not to fly?

This thesis investigates crosswind Airborne Wind Energy Systems (AWESs) in terms of power production and potential role in future electricity generation systems. The perspective ranges from the small scale, modelling AWE as a single system, to the large, implementing AWESs in regional electricity systems. \ua0To estimate the AWES power production, the thesis provides a dynamic system model that serves as the basis for all the work. The model describes the flight dynamics of a rigid wing that is exposed to tether and aerodynamic forces controlled by flight control surfaces. Index-3 Differential Algebraic Equations (DAEs) based on Lagrangian mechanics describe the dynamics. \ua0This model is validated by fitting it to real flight measurements obtained with a pumping-mode AWES, the prototype AP2 by Ampyx Power. The optimal power production of an AWES depends on complex trade-offs; this motivates formulating the power production computation as an Optimal Control Problem (OCP). The thesis presents the numerical methods needed to discretize the OCP and solve the resulting Nonlinear Program (NLP). \ua0Large-scale implementation of AWESs raises challenges related to variability in power production on the time scale of minutes to weeks. For the former, we investigate the periodic fluctuations in the power output of a single AWES. These fluctuations can be severe when operating a wind farm and have to be considered and reduced for an acceptable grid integration. We analyse the option of controlling the flight trajectories of the individual systems in a farm so that the total power output of the farm is smoothed. This controlled operation fixes the system\u27s trajectory, reducing the ability to maximize the power output of individual AWESs to local wind conditions. We quantify the lost power production if the systems are controlled such that the total farm power output is smoothed. Results show that the power difference between the optimal and fixed trajectory does not exceed 4% for the systems modelled in the study.\ua0The variations in AWESs power production on the timescale of hours to weeks are particularly relevant to the interaction between AWE and other power generation technologies. Investigating AWESs in an electricity system context requires power-generation profiles with high spatio-temporal resolution, which means solving a large number of OCPs. In order to efficiently solve these numerous OCPs in a sequential manner, this thesis presents a homotopy-path-following method combined with modifications to the NLP solver. The implementation shows a 20-fold reduction in computation time compared to the original method for solving the NLP for AWES power optimization.\ua0 For large wind-data sets, a random forest regression model is trained to a high accuracy, providing an even faster computation.The annual generation profiles for the modelled systems are computed using ERA5 wind data for several locations and compared to the generation profile for a traditional wind turbine. The results show that the profiles are strongly correlated in time, which is a sobering fact in terms of technology competition. However, the correlation is weaker in locations with high wind shear.\ua0 \ua0The potential role of AWESs in the future electricity system is further investigated. This thesis implements annual AWE-farm generation profiles into a cost-optimizing electricity system model. We find that AWE is most valuable to the electricity system if installed at sites with low wind speed within a region. At greater shares of the electricity system, even if AWESs could demonstrate lower costs compared to wind turbines, AWE would merely substitute for them instead of increasing the total share of wind energy in the system. This implies that the economic value of an AWES is limited by its cost relative to traditional wind turbines

Airborne Wind Energy - to fly or not to fly?

This thesis investigates crosswind Airborne Wind Energy Systems (AWESs) in terms of power production and potential role in future electricity generation systems. The perspective ranges from the small scale, modelling AWE as a single system, to the large, implementing AWESs in regional electricity systems. \ua0To estimate the AWES power production, the thesis provides a dynamic system model that serves as the basis for all the work. The model describes the flight dynamics of a rigid wing that is exposed to tether and aerodynamic forces controlled by flight control surfaces. Index-3 Differential Algebraic Equations (DAEs) based on Lagrangian mechanics describe the dynamics. \ua0This model is validated by fitting it to real flight measurements obtained with a pumping-mode AWES, the prototype AP2 by Ampyx Power. The optimal power production of an AWES depends on complex trade-offs; this motivates formulating the power production computation as an Optimal Control Problem (OCP). The thesis presents the numerical methods needed to discretize the OCP and solve the resulting Nonlinear Program (NLP). \ua0Large-scale implementation of AWESs raises challenges related to variability in power production on the time scale of minutes to weeks. For the former, we investigate the periodic fluctuations in the power output of a single AWES. These fluctuations can be severe when operating a wind farm and have to be considered and reduced for an acceptable grid integration. We analyse the option of controlling the flight trajectories of the individual systems in a farm so that the total power output of the farm is smoothed. This controlled operation fixes the system\u27s trajectory, reducing the ability to maximize the power output of individual AWESs to local wind conditions. We quantify the lost power production if the systems are controlled such that the total farm power output is smoothed. Results show that the power difference between the optimal and fixed trajectory does not exceed 4% for the systems modelled in the study.\ua0The variations in AWESs power production on the timescale of hours to weeks are particularly relevant to the interaction between AWE and other power generation technologies. Investigating AWESs in an electricity system context requires power-generation profiles with high spatio-temporal resolution, which means solving a large number of OCPs. In order to efficiently solve these numerous OCPs in a sequential manner, this thesis presents a homotopy-path-following method combined with modifications to the NLP solver. The implementation shows a 20-fold reduction in computation time compared to the original method for solving the NLP for AWES power optimization.\ua0 For large wind-data sets, a random forest regression model is trained to a high accuracy, providing an even faster computation.The annual generation profiles for the modelled systems are computed using ERA5 wind data for several locations and compared to the generation profile for a traditional wind turbine. The results show that the profiles are strongly correlated in time, which is a sobering fact in terms of technology competition. However, the correlation is weaker in locations with high wind shear.\ua0 \ua0The potential role of AWESs in the future electricity system is further investigated. This thesis implements annual AWE-farm generation profiles into a cost-optimizing electricity system model. We find that AWE is most valuable to the electricity system if installed at sites with low wind speed within a region. At greater shares of the electricity system, even if AWESs could demonstrate lower costs compared to wind turbines, AWE would merely substitute for them instead of increasing the total share of wind energy in the system. This implies that the economic value of an AWES is limited by its cost relative to traditional wind turbines

A Polyhedral Study of Mixed 0-1 Set

We consider a variant of the well-known single node fixed charge network flow set with constant capacities. This set arises from the relaxation of more general mixed integer sets such as lot-sizing problems with multiple suppliers. We provide a complete polyhedral characterization of the convex hull of the given set