A two-phase gradient method for quadratic programming problems with a single linear constraint and bounds on the variables

We propose a gradient-based method for quadratic programming problems with a single linear constraint and bounds on the variables. Inspired by the GPCG algorithm for bound-constrained convex quadratic programming [J.J. Mor\'e and G. Toraldo, SIAM J. Optim. 1, 1991], our approach alternates between two phases until convergence: an identification phase, which performs gradient projection iterations until either a candidate active set is identified or no reasonable progress is made, and an unconstrained minimization phase, which reduces the objective function in a suitable space defined by the identification phase, by applying either the conjugate gradient method or a recently proposed spectral gradient method. However, the algorithm differs from GPCG not only because it deals with a more general class of problems, but mainly for the way it stops the minimization phase. This is based on a comparison between a measure of optimality in the reduced space and a measure of bindingness of the variables that are on the bounds, defined by extending the concept of proportioning, which was proposed by some authors for box-constrained problems. If the objective function is bounded, the algorithm converges to a stationary point thanks to a suitable application of the gradient projection method in the identification phase. For strictly convex problems, the algorithm converges to the optimal solution in a finite number of steps even in case of degeneracy. Extensive numerical experiments show the effectiveness of the proposed approach.Comment: 30 pages, 17 figure

Solution of Different Types of Economic Load Dispatch Problems Using a Pattern Search Method

Direct search (DS) methods are evolutionary algorithms used to solve constrained optimization problems. DS methods do not require information about the gradient of the objective function when searching for an optimum solution. One such method is a pattern search (PS) algorithm. This study presents a new approach based on a constrained PS algorithm to solve various types of power system economic load dispatch (ELD) problems. These problems include economic dispatch with valve point (EDVP) effects, multi-area economic load dispatch (MAED), companied economic-environmental dispatch (CEED), and cubic cost function economic dispatch (QCFED). For illustrative purposes, the proposed PS technique has been applied to each of the above dispatch problems to validate its effectiveness. Furthermore, convergence characteristics and robustness of the proposed method has been assessed and investigated through comparison with results reported in literature. The outcome is very encouraging and suggests that PS methods may be very efficient when solving power system ELD problems

Dynamic resource constrained multi-project scheduling problem with weighted earliness/tardiness costs

In this study, a conceptual framework is given for the dynamic multi-project scheduling problem with weighted earliness/tardiness costs (DRCMPSPWET) and a mathematical programming formulation of the problem is provided. In DRCMPSPWET, a project arrives on top of an existing project portfolio and a due date has to be quoted for the new project while minimizing the costs of schedule changes. The objective function consists of the weighted earliness tardiness costs of the activities of the existing projects in the current baseline schedule plus a term that increases linearly with the anticipated completion time of the new project. An iterated local search based approach is developed for large instances of this problem. In order to analyze the performance and behavior of the proposed method, a new multi-project data set is created by controlling the total number of activities, the due date tightness, the due date range, the number of resource types, and the completion time factor in an instance. A series of computational experiments are carried out to test the performance of the local search approach. Exact solutions are provided for the small instances. The results indicate that the local search heuristic performs well in terms of both solution quality and solution time

Direct And Evolutionary Approaches For Optimal Receiver Function Inversion

Receiver functions are time series obtained by deconvolving vertical component seismograms from radial component seismograms. Receiver functions represent the impulse response of the earth structure beneath a seismic station. Generally, receiver functions consist of a number of seismic phases related to discontinuities in the crust and upper mantle. The relative arrival times of these phases are correlated with the locations of discontinuities as well as the media of seismic wave propagation. The Moho (Mohorovicic discontinuity) is a major interface or discontinuity that separates the crust and the mantle. In this research, automatic techniques to determine the depth of the Moho from the earth’s surface (the crustal thickness H) and the ratio of crustal seismic P-wave velocity (Vp) to S-wave velocity (Vs) (ï«= Vp/Vs) were developed. In this dissertation, an optimization problem of inverting receiver functions has been developed to determine crustal parameters and the three associated weights using evolutionary and direct optimization techniques

Second order adjoints for solving PDE-constrained optimization problems

Inverse problems are of utmost importance in many fields of science and engineering. In the variational approach inverse problems are formulated as PDE-constrained optimization problems, where the optimal estimate of the uncertain parameters is the minimizer of a certain cost functional subject to the constraints posed by the model equations. The numerical solution of such optimization problems requires the computation of derivatives of the model output with respect to model parameters. The first order derivatives of a cost functional (defined on the model output) with respect to a large number of model parameters can be calculated efficiently through first order adjoint sensitivity analysis. Second order adjoint models give second derivative information in the form of matrix-vector products between the Hessian of the cost functional and user defined vectors. Traditionally, the construction of second order derivatives for large scale models has been considered too costly. Consequently, data assimilation applications employ optimization algorithms that use only first order derivative information, like nonlinear conjugate gradients and quasi-Newton methods. In this paper we discuss the mathematical foundations of second order adjoint sensitivity analysis and show that it provides an efficient approach to obtain Hessian-vector products. We study the benefits of using of second order information in the numerical optimization process for data assimilation applications. The numerical studies are performed in a twin experiment setting with a two-dimensional shallow water model. Different scenarios are considered with different discretization approaches, observation sets, and noise levels. Optimization algorithms that employ second order derivatives are tested against widely used methods that require only first order derivatives. Conclusions are drawn regarding the potential benefits and the limitations of using high-order information in large scale data assimilation problems