Bounded Decentralised Coordination over Multiple Objectives

We propose the bounded multi-objective max-sum algorithm (B-MOMS), the first decentralised coordination algorithm for multi-objective optimisation problems. B-MOMS extends the max-sum message-passing algorithm for decentralised coordination to compute bounded approximate solutions to multi-objective decentralised constraint optimisation problems (MO-DCOPs). Specifically, we prove the optimality of B-MOMS in acyclic constraint graphs, and derive problem dependent bounds on its approximation ratio when these graphs contain cycles. Furthermore, we empirically evaluate its performance on a multi-objective extension of the canonical graph colouring problem. In so doing, we demonstrate that, for the settings we consider, the approximation ratio never exceeds 2, and is typically less than 1.5 for less-constrained graphs. Moreover, the runtime required by B-MOMS on the problem instances we considered never exceeds 30 minutes, even for maximally constrained graphs with $100$ agents. Thus, B-MOMS brings the problem of multi-objective optimisation well within the boundaries of the limited capabilities of embedded agents

Optimization with multivariate conditional value-at-risk constraints

For many decision making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or criteria). Incorporating such multivariate preference rules into optimization models is a fairly recent research area. Existing studies focus on extending univariate stochastic dominance rules to the multivariate case. However, enforcing multivariate stochastic dominance constraints can often be overly conservative in practice. As an alternative, we focus on the widely-applied risk measure conditional value-at-risk (CVaR), introduce a multivariate CVaR relation, and develop a novel optimization model with multivariate CVaR constraints based on polyhedral scalarization. To solve such problems for finite probability spaces we develop a cut generation algorithm, where each cut is obtained by solving a mixed integer problem. We show that a multivariate CVaR constraint reduces to finitely many univariate CVaR constraints, which proves the finite convergence of our algorithm. We also show that our results can be naturally extended to a wider class of coherent risk measures. The proposed approach provides a flexible, and computationally tractable way of modeling preferences in stochastic multi-criteria decision making. We conduct a computational study for a budget allocation problem to illustrate the effect of enforcing multivariate CVaR constraints and demonstrate the computational performance of the proposed solution methods

A robust design methodology suitable for application to one-off products

Robust design is an activity of fundamental importance when designing large, complex, one-off engineering products. Work is described which is concerned with the application of the theory of design of experiments and stochastic optimization methods to explore and optimize at the concept design stage. The discussion begins with a description of state-of-the-art stochastic techniques and their application to robust design. The content then focuses on a generic methodology which is capable of manipulating design algorithms that can be used to describe a design concept. An example is presented, demonstrating the use of the system for the robust design of a catamaran with respect to seakeeping

Optimization with multivariate conditional value-at-risk constraints

For many decision making problems under uncertainty, it is crucial to develop risk-averse models and specify the decision makers' risk preferences based on multiple stochastic performance measures (or criteria). Incorporating such multivariate preference rules into optimization models is a fairly recent research area. Existing studies focus on extending univariate stochastic dominance rules to the multivariate case. However, enforcing multivariate stochastic dominance constraints can often be overly conservative in practice. As an alternative, we focus on the widely-applied risk measure conditional value-at-risk (CVaR), introduce a multivariate CVaR relation, and develop a novel optimization model with multivariate CVaR constraints based on polyhedral scalarization. To solve such problems for finite probability spaces we develop a cut generation algorithm, where each cut is obtained by solving a mixed integer problem. We show that a multivariate CVaR constraint reduces to finitely many univariate CVaR constraints, which proves the finite convergence of our algorithm. We also show that our results can be naturally extended to a wider class of coherent risk measures. The proposed approach provides a flexible, and computationally tractable way of modeling preferences in stochastic multi-criteria decision making. We conduct a computational study for a budget allocation problem to illustrate the effect of enforcing multivariate CVaR constraints and demonstrate the computational performance of the proposed solution methods