Software tools for stochastic programming: A Stochastic Programming Integrated Environment (SPInE)

SP models combine the paradigm of dynamic linear programming with modelling of random parameters, providing optimal decisions which hedge against future uncertainties. Advances in hardware as well as software techniques and solution methods have made SP a viable optimisation tool. We identify a growing need for modelling systems which support the creation and investigation of SP problems. Our SPInE system integrates a number of components which include a flexible modelling tool (based on stochastic extensions of the algebraic modelling languages AMPL and MPL), stochastic solvers, as well as special purpose scenario generators and database tools. We introduce an asset/liability management model and illustrate how SPInE can be used to create and process this model as a multistage SP application

Uncertainty modelling in power system state estimation

A method for uncertainty analysis in power system state estimation is proposed. The two-step method uses static weighted least-squares analysis to compute 'point' state estimates. Linear programming is then employed to obtain the upper and lower bounds of the uncertainty interval. It is shown that the method can provide useful additional information for both metered and nonmetered elements of the system. The effects of network parameter errors are also studied. For illustrative purposed, the proposed method is tested using the six-bus and IEEE 30-bus standard systems. Results show that the proposed method is an accurate and reliable tool for estimating the uncertainty bounds in power system state estimation

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

A Modelling Approach for Evaluating Agri-Environmental Policies at Sector Level

This paper presents a new approach to evaluate the cost effectiveness of agri-environmental policies at sector level. Policy uptake, cumulative environmental effects and public expenditure are identified as the main determinants of cost-effectiveness. On the basis of the sector-consistent, comparative-static, farm group model FARMIS, the determinants of policy cost-effectiveness at sector level are addressed. Firstly, intensity levels for the FARMIS activities are defined in order to model uptake of agri-environmental policies with FARMIS, secondly, life-cycle assessment data is attached to these intensity levels to determine environmental effects of the policies and thirdly, public expenditure is calculated under consideration of transaction costs. This paper concludes delineating the strengths and limitations of the approach

Macroscopic modelling and robust control of bi-modal multi-region urban road networks

The paper concerns the integration of a bi-modal Macroscopic Fundamental Diagram (MFD) modelling for mixed traffic in a robust control framework for congested single- and multi-region urban networks. The bi-modal MFD relates the accumulation of cars and buses and the outflow (or circulating flow) in homogeneous (both in the spatial distribution of congestion and the spatial mode mixture) bi-modal traffic networks. We introduce the composition of traffic in the network as a parameter that affects the shape of the bi-modal MFD. A linear parameter varying model with uncertain parameter the vehicle composition approximates the original nonlinear system of aggregated dynamics when it is near the equilibrium point for single- and multi-region cities governed by bi-modal MFDs. This model aims at designing a robust perimeter and boundary flow controller for single- and multi-region networks that guarantees robust regulation and stability, and thus smooth and efficient operations, given that vehicle composition is a slow time-varying parameter. The control gain of the robust controller is calculated off-line using convex optimisation. To evaluate the proposed scheme, an extensive simulation-based study for single- and multi-region networks is carried out. To this end, the heterogeneous network of San Francisco where buses and cars share the same infrastructure is partitioned into two homogeneous regions with different modes of composition. The proposed robust control is compared with an optimised pre-timed signal plan and a single-region perimeter control strategy. Results show that the proposed robust control can significantly: (i) reduce the overall congestion in the network; (ii) improve the traffic performance of buses in terms of travel delays and schedule reliability, and; (iii) avoid queues and gridlocks on critical paths of the network

Probabilistic Methodology and Techniques for Artefact Conception and Development

The purpose of this paper is to make a state of the art on probabilistic methodology and techniques for artefact conception and development. It is the 8th deliverable of the BIBA (Bayesian Inspired Brain and Artefacts) project. We first present the incompletness problem as the central difficulty that both living creatures and artefacts have to face: how can they perceive, infer, decide and act efficiently with incomplete and uncertain knowledge?. We then introduce a generic probabilistic formalism called Bayesian Programming. This formalism is then used to review the main probabilistic methodology and techniques. This review is organized in 3 parts: first the probabilistic models from Bayesian networks to Kalman filters and from sensor fusion to CAD systems, second the inference techniques and finally the learning and model acquisition and comparison methodologies. We conclude with the perspectives of the BIBA project as they rise from this state of the art