Branch-and-bound reduction type method for semi-infinite programming

Semi-infinite programming (SIP) problems can be efficiently solved by reduction type methods. Here, we present a new reduction method for SIP, where the multi-local optimization is carried out with a multi-local branch-and-bound method, the reduced (finite) problem is approximately solved by an interior point method, and the global convergence is promoted through a two-dimensional filter line search. Numerical experiments with a set of well-known problems are shown

On generalized semi-infinite optimization and bilevel optimization

The paper studies the connections and differences between bilevel problems (BL) and generalized semi-infinite problems (GSIP). Under natural assumptions (GSIP) can be seen as a special case of a (BL). We consider the so-called reduction approach for (BL) and (GSIP) leading to optimality conditions and Newton-type methods for solving the problems. We show by a structural analysis that for (GSIP)-problems the regularity assumptions for the reduction approach can be expected to hold generically at a solution but for general (BL)-problems not. The genericity behavior of (BL) and (GSIP) is in particular studied for linear problems

Experiences with reduction method to solve semi-infinite programming problems

In this talk, some variants of reduction-type method combined with a line search filter method to solve nonlinear semi-infinite programming problems are presented. We use the stretched simulated annealing method and the branch and bound technique to compute the maximizers of the constraint. The filter method is used as an alternative to merit functions to promote convergence from poor starting points

Nonlinear Integer Programming

Research efforts of the past fifty years have led to a development of linear integer programming as a mature discipline of mathematical optimization. Such a level of maturity has not been reached when one considers nonlinear systems subject to integrality requirements for the variables. This chapter is dedicated to this topic. The primary goal is a study of a simple version of general nonlinear integer problems, where all constraints are still linear. Our focus is on the computational complexity of the problem, which varies significantly with the type of nonlinear objective function in combination with the underlying combinatorial structure. Numerous boundary cases of complexity emerge, which sometimes surprisingly lead even to polynomial time algorithms. We also cover recent successful approaches for more general classes of problems. Though no positive theoretical efficiency results are available, nor are they likely to ever be available, these seem to be the currently most successful and interesting approaches for solving practical problems. It is our belief that the study of algorithms motivated by theoretical considerations and those motivated by our desire to solve practical instances should and do inform one another. So it is with this viewpoint that we present the subject, and it is in this direction that we hope to spark further research.Comment: 57 pages. To appear in: M. J\"unger, T. Liebling, D. Naddef, G. Nemhauser, W. Pulleyblank, G. Reinelt, G. Rinaldi, and L. Wolsey (eds.), 50 Years of Integer Programming 1958--2008: The Early Years and State-of-the-Art Surveys, Springer-Verlag, 2009, ISBN 354068274

Algorithm Engineering in Robust Optimization

Robust optimization is a young and emerging field of research having received a considerable increase of interest over the last decade. In this paper, we argue that the the algorithm engineering methodology fits very well to the field of robust optimization and yields a rewarding new perspective on both the current state of research and open research directions. To this end we go through the algorithm engineering cycle of design and analysis of concepts, development and implementation of algorithms, and theoretical and experimental evaluation. We show that many ideas of algorithm engineering have already been applied in publications on robust optimization. Most work on robust optimization is devoted to analysis of the concepts and the development of algorithms, some papers deal with the evaluation of a particular concept in case studies, and work on comparison of concepts just starts. What is still a drawback in many papers on robustness is the missing link to include the results of the experiments again in the design

Branch-and-lift algorithm for deterministic global optimization in nonlinear optimal control

This paper presents a branch-and-lift algorithm for solving optimal control problems with smooth nonlinear dynamics and potentially nonconvex objective and constraint functionals to guaranteed global optimality. This algorithm features a direct sequential method and builds upon a generic, spatial branch-and-bound algorithm. A new operation, called lifting, is introduced, which refines the control parameterization via a Gram-Schmidt orthogonalization process, while simultaneously eliminating control subregions that are either infeasible or that provably cannot contain any global optima. Conditions are given under which the image of the control parameterization error in the state space contracts exponentially as the parameterization order is increased, thereby making the lifting operation efficient. A computational technique based on ellipsoidal calculus is also developed that satisfies these conditions. The practical applicability of branch-and-lift is illustrated in a numerical example. © 2013 Springer Science+Business Media New York

The Complexity of Relating Quantum Channels to Master Equations

Completely positive, trace preserving (CPT) maps and Lindblad master equations are both widely used to describe the dynamics of open quantum systems. The connection between these two descriptions is a classic topic in mathematical physics. One direction was solved by the now famous result due to Lindblad, Kossakowski Gorini and Sudarshan, who gave a complete characterisation of the master equations that generate completely positive semi-groups. However, the other direction has remained open: given a CPT map, is there a Lindblad master equation that generates it (and if so, can we find it's form)? This is sometimes known as the Markovianity problem. Physically, it is asking how one can deduce underlying physical processes from experimental observations. We give a complexity theoretic answer to this problem: it is NP-hard. We also give an explicit algorithm that reduces the problem to integer semi-definite programming, a well-known NP problem. Together, these results imply that resolving the question of which CPT maps can be generated by master equations is tantamount to solving P=NP: any efficiently computable criterion for Markovianity would imply P=NP; whereas a proof that P=NP would imply that our algorithm already gives an efficiently computable criterion. Thus, unless P does equal NP, there cannot exist any simple criterion for determining when a CPT map has a master equation description. However, we also show that if the system dimension is fixed (relevant for current quantum process tomography experiments), then our algorithm scales efficiently in the required precision, allowing an underlying Lindblad master equation to be determined efficiently from even a single snapshot in this case. Our work also leads to similar complexity-theoretic answers to a related long-standing open problem in probability theory.Comment: V1: 43 pages, single column, 8 figures. V2: titled changed; added proof-overview and accompanying figure; 50 pages, single column, 9 figure