Optimization Methods and Algorithms for Classes of Black-Box and Grey-Box Problems

There are many optimization problems in physics, chemistry, finance, computer science, engineering and operations research for which the analytical expressions of the objective and/or the constraints are unavailable. These are black-box problems where the derivative information are often not available or too expensive to approximate numerically. When the derivative information is absent, it becomes challenging to optimize and guarantee optimality of the solution. The objective of this Ph.D. work is to propose methods and algorithms to address some of the challenges of blackbox optimization (BBO). A top-down approach is taken by first addressing an easier class of black-box and then the difficulty and complexity of the problems is gradually increased. In the first part of the dissertation, a class of grey-box problems is considered for which the closed form of the objective and/or constraints are unknown, but it is possible to obtain a global upper bound on the diagonal Hessian elements. This allows the construction of an edge-concave underestimator with vertex polyhedral solution. This lower bounding technique is implemented within a branch-and-bound framework with guaranteed convergence to global optimality. The technique is applied for the optimization of problems with embedded system of ordinary differential equations (ODEs). Time dependent bounds on the state variables and the diagonal elements of the Hessian are computed by solving auxiliary set of ODEs that are derived using differential inequalities. In the second part of the dissertation, general box-constrained black-box problems are addressed for which only simulations can be performed. A novel optimization method, UNIPOPT (Univariate Projection-based Optimization) based on projection onto a univariate space is proposed. A special function is identified in this space that also contains the global minima of the original function. Computational experiments suggest that UNIPOPT often have better space exploration features compared to other approaches. The third part of the dissertation addresses general black-box problems with constraints of both known and unknown algebraic forms. An efficient two-phase algorithm based on trust-region framework is proposed for problems particularly involving high function evaluation cost. The performance of the approach is illustrated through computational experiments which evaluate its ability to reduce a merit function and find the optima

Integer Bilevel Linear Programming Problems: New Results and Applications

Integer Bilevel Linear Programming Problems: New Results and Application

Design and Certification of Industrial Predictive Controllers

Three decades have passed since milestone publications by several industrial and academic researchers spawned a flurry of research and commercial, industrial activities on model predictive control (MPC). The improvement in efficiency of the on-line optimization part of MPC led to its adoption in mechanical and mechatronic systems from process control and petrochemical applications. However, the massive strides made by the academic community in guaranteeing stability through state-space MPC have not always been directly applicable in an industrial setting. This thesis is concerned with design and a posteriori certification of feasibility/stability of input-output MPC controllers for industrial applications without terminal conditions (i.e. terminal penalty, terminal constraint, terminal control). MPC controllers which differ in their modelling and prediction method are categorized into three major groups, and a general equivalence between these forms is established. Then an overview on robust set invariance is given as it plays a fundamental role in our analysis of the constrained control systems. These tools are used to give new tuning guidelines as well as a posteriori tests for guaranteeing feasibility of the suboptimal or optimal predictive control law without terminal conditions, which is fundamental towards stability of the closed loop. Next, penalty adaptation is used as a systematic procedure to derive asymptotic stability without any terminal conditions and without using set invariance or Lyapunov arguments. This analysis however is restricted to repetitive systems with input constraints. Then, predictive control without terminal conditions is considered for nonlinear and distributed systems. The invariance tools are extended to switching nonlinear systems, a proof of convergence is given for the iterative nonlinear MPC (NMPC), and a guarantee on overall cost decrease is developed for distributed NMPC, all without terminal conditions. Reference generation and parameter adaptation are shown to be effective mechanisms for NMPC and distributed NMPC (DNMPC) under changing environmental conditions. This is demonstrated on two benchmark test-cases i.e. the wet-clutch and hydrostatic drivetrain, respectively. Terminal conditions in essence are difficult to compute, may compromise performance and are not used in the industry. The main contribution of the thesis is a systematic development and analysis of MPC without terminal conditions for linear, nonlinear and distributed systems.This work was supported within the framework of the LeCoPro project (grant nr. 80032) of the Institute for the Promotion of Innovation through Science and Technology in Flanders (IWT-Vlaanderen)