Primal decomposition and constraint generation for asynchronous distributed mixed-integer linear programming

In this paper, we deal with large-scale Mixed Integer Linear Programs (MILPs) with coupling constraints that must be solved by processors over networks. We propose a finite-time distributed algorithm that computes a feasible solution with suboptimality bounds over asynchronous and unreliable networks. As shown in a previous work of ours, a feasible solution of the considered MILP can be computed by resorting to a primal decomposition of a suitable problem convexification. In this paper we reformulate the primal decomposition resource allocation problem as a linear program with an exponential number of unknown constraints. Then we design a distributed protocol that allows agents to compute an optimal allocation by generating and exchanging only few of the unknown constraints. Each allocation is iteratively used to compute a candidate feasible solution of the original MILP. We establish finite-time convergence of the proposed algorithm under very general assumptions on the communication network. A numerical example corroborates the theoretical results

Technical Report: Distributed Asynchronous Large-Scale Mixed-Integer Linear Programming via Saddle Point Computation

We solve large-scale mixed-integer linear programs (MILPs) via distributed asynchronous saddle point computation. This is motivated by the MILPs being able to model problems in multi-agent autonomy, e.g., task assignment problems and trajectory planning with collision avoidance constraints in multi-robot systems. To solve a MILP, we relax it with a nonlinear program approximation whose accuracy tightens as the number of agents increases relative to the number of coupled constraints. Next, we form an equivalent Lagrangian saddle point problem, and then regularize the Lagrangian in both the primal and dual spaces to create a regularized Lagrangian that is strongly-convex-strongly-concave. We then develop a parallelized algorithm to compute saddle points of the regularized Lagrangian. This algorithm partitions problems into blocks, which are either scalars or sub-vectors of the primal or dual decision variables, and it is shown to tolerate asynchrony in the computations and communications of primal and dual variables. Suboptimality bounds and convergence rates are presented for convergence to a saddle point. The suboptimality bound includes (i) the regularization error induced by regularizing the Lagrangian and (ii) the suboptimality gap between solutions to the original MILP and its relaxed form. Simulation results illustrate these theoretical developments in practice, and show that relaxation and regularization together have only a mild impact on the quality of solution obtained.Comment: 14 pages, 2 figure

AC OPF in Radial Distribution Networks - Parts I,II

The optimal power-flow problem (OPF) has played a key role in the planning and operation of power systems. Due to the non-linear nature of the AC power-flow equations, the OPF problem is known to be non-convex, therefore hard to solve. Most proposed methods for solving the OPF rely on approximations that render the problem convex, but that may yield inexact solutions. Recently, Farivar and Low proposed a method that is claimed to be exact for radial distribution systems, despite no apparent approximations. In our work, we show that it is, in fact, not exact. On one hand, there is a misinterpretation of the physical network model related to the ampacity constraint of the lines' current flows. On the other hand, the proof of the exactness of the proposed relaxation requires unrealistic assumptions related to the unboundedness of specific control variables. We also show that the extension of this approach to account for exact line models might provide physically infeasible solutions. Recently, several contributions have proposed OPF algorithms that rely on the use of the alternating-direction method of multipliers (ADMM). However, as we show in this work, there are cases for which the ADMM-based solution of the non-relaxed OPF problem fails to converge. To overcome the aforementioned limitations, we propose an algorithm for the solution of a non-approximated, non-convex OPF problem in radial distribution systems that is based on the method of multipliers, and on a primal decomposition of the OPF. This work is divided in two parts. In Part I, we specifically discuss the limitations of BFM and ADMM to solve the OPF problem. In Part II, we provide a centralized version and a distributed asynchronous version of the proposed OPF algorithm and we evaluate its performances using both small-scale electrical networks, as well as a modified IEEE 13-node test feeder

Lagrangian Relaxation for Mixed-Integer Linear Programming: Importance, Challenges, Recent Advancements, and Opportunities

Operations in areas of importance to society are frequently modeled as Mixed-Integer Linear Programming (MILP) problems. While MILP problems suffer from combinatorial complexity, Lagrangian Relaxation has been a beacon of hope to resolve the associated difficulties through decomposition. Due to the non-smooth nature of Lagrangian dual functions, the coordination aspect of the method has posed serious challenges. This paper presents several significant historical milestones (beginning with Polyak's pioneering work in 1967) toward improving Lagrangian Relaxation coordination through improved optimization of non-smooth functionals. Finally, this paper presents the most recent developments in Lagrangian Relaxation for fast resolution of MILP problems. The paper also briefly discusses the opportunities that Lagrangian Relaxation can provide at this point in time

A Tutorial on Distributed Optimization for Cooperative Robotics: from Setups and Algorithms to Toolboxes and Research Directions

Several interesting problems in multi-robot systems can be cast in the framework of distributed optimization. Examples include multi-robot task allocation, vehicle routing, target protection and surveillance. While the theoretical analysis of distributed optimization algorithms has received significant attention, its application to cooperative robotics has not been investigated in detail. In this paper, we show how notable scenarios in cooperative robotics can be addressed by suitable distributed optimization setups. Specifically, after a brief introduction on the widely investigated consensus optimization (most suited for data analytics) and on the partition-based setup (matching the graph structure in the optimization), we focus on two distributed settings modeling several scenarios in cooperative robotics, i.e., the so-called constraint-coupled and aggregative optimization frameworks. For each one, we consider use-case applications, and we discuss tailored distributed algorithms with their convergence properties. Then, we revise state-of-the-art toolboxes allowing for the implementation of distributed schemes on real networks of robots without central coordinators. For each use case, we discuss their implementation in these toolboxes and provide simulations and real experiments on networks of heterogeneous robots

Randomized Constraints Consensus for Distributed Robust Mixed-Integer Programming

In this paper, we consider a network of processors aiming at cooperatively solving mixed-integer convex programs subject to uncertainty. Each node only knows a common cost function and its local uncertain constraint set. We propose a randomized, distributed algorithm working under asynchronous, unreliable and directed communication. The algorithm is based on a local computation and communication paradigm. At each communication round, nodes perform two updates: (i) a verification in which they check---in a randomized fashion---the robust feasibility of a candidate optimal point, and (ii) an optimization step in which they exchange their candidate basis (the minimal set of constraints defining a solution) with neighbors and locally solve an optimization problem. As main result, we show that processors can stop the algorithm after a finite number of communication rounds (either because verification has been successful for a sufficient number of rounds or because a given threshold has been reached), so that candidate optimal solutions are consensual. The common solution is proven to be---with high confidence---feasible and hence optimal for the entire set of uncertainty except a subset having an arbitrary small probability measure. We show the effectiveness of the proposed distributed algorithm using two examples: a random, uncertain mixed-integer linear program and a distributed localization in wireless sensor networks. The distributed algorithm is implemented on a multi-core platform in which the nodes communicate asynchronously.Comment: Submitted for publication. arXiv admin note: text overlap with arXiv:1706.0048