New results about multi-band uncertainty in Robust Optimization

"The Price of Robustness" by Bertsimas and Sim represented a breakthrough in the development of a tractable robust counterpart of Linear Programming Problems. However, the central modeling assumption that the deviation band of each uncertain parameter is single may be too limitative in practice: experience indeed suggests that the deviations distribute also internally to the single band, so that getting a higher resolution by partitioning the band into multiple sub-bands seems advisable. The critical aim of our work is to close the knowledge gap about the adoption of a multi-band uncertainty set in Robust Optimization: a general definition and intensive theoretical study of a multi-band model are actually still missing. Our new developments have been also strongly inspired and encouraged by our industrial partners, which have been interested in getting a better modeling of arbitrary distributions, built on historical data of the uncertainty affecting the considered real-world problems. In this paper, we study the robust counterpart of a Linear Programming Problem with uncertain coefficient matrix, when a multi-band uncertainty set is considered. We first show that the robust counterpart corresponds to a compact LP formulation. Then we investigate the problem of separating cuts imposing robustness and we show that the separation can be efficiently operated by solving a min-cost flow problem. Finally, we test the performance of our new approach to Robust Optimization on realistic instances of a Wireless Network Design Problem subject to uncertainty.Comment: 15 pages. The present paper is a revised version of the one appeared in the Proceedings of SEA 201

A branch-and-Benders-cut method for nonlinear power design in green wireless local area networks

We consider a problem arising in the design of green wireless local area networks. Decisions on powering-on a set of access points (APs), via the assignment of one power level (PL) to each opened AP, and decisions on the assignment of the user terminals (UTs) to the opened APs, have to be taken simultaneously. The PL assigned to an AP affects, in a nonlinear way, the capacity of the connections between the AP and the UTs that are assigned to it. The objective is to minimize the overall power consumption of the APs, which has two components: location/capacity dimensioning costs of the APs; assignment costs that depend on the total demands assigned to the APs. We develop a branch-and-Benders-cut (BBC) method where, in a non-standard fashion, the master problem includes the variables of the Benders subproblem, but relaxes their integrality. The BBC method has been tested on a large set of instances, and compared to a Benders decomposition algorithm on a subset of instances without assignment costs, where the two approaches can be compared. The computational results show the superiority of BBC in terms of solution quality, scalability and robustness

Polyhedral Approximations of Quadratic Semi-Assignment Problems, Disjunctive Programs, and Base-2 Expansions of Integer Variables

This research is concerned with developing improved representations for special families of mixed-discrete programming problems. Such problems can typically be modeled using different mathematical forms, and the representation employed can greatly influence the problem\u27s ability to be solved. Generally speaking, it is desired to obtain mixed 0-1 linear forms whose continuous relaxations provide tight polyhedral outer-approximations to the convex hulls of feasible solutions. This dissertation makes contributions to three distinct problems, providing new forms that improve upon published works. The first emphasis is on devising solution procedures for the classical quadratic semi-assignment problem(QSAP), which is an NP-hard 0-1 quadratic program. The effort begins by using a reformulation-linearization technique to recast the problem as a mixed 0-1 linear program. The resulting form provides insight into identifying special instances that are readily solvable. For the general case, the form is shown to have a tight continuous relaxation, as well as to possess a decomposable structure. Specifically, a Hamiltonian decomposition of a graph interpretation is devised to motivate a Lagrangian dual whose subproblems consist of families of separable acyclic minimum-cost network flows. The result is an efficient approach for computing tight lower bounds on the optimal objective value to the original discrete program. Extensive computational experience is reported to evaluate the tightness of the representation and the expedience of the algorithm. The second contribution uses disjunctive programming arguments to model the convex hull of the union of a finite collection of polytopes. It is well known that the convex hull of the union of n polytopes can be obtained by lifting the problem into a higher-dimensional space using n auxiliary continuous (scaling) variables. When placed within a larger optimization problem, these variables must be restricted to be binary. This work examines an approach that uses fewer binary variables. The same scaling technique is employed, but the variables are treated as continuous by introducing a logarithmic number of new binary variables and constraints. The scaling variables can now be substituted from the problem. Moreover, an emphasis of this work, is that specially structured polytopes lead to well-defined projection operations that yield more concise forms. These special polytopes consist of knapsack problems having SOS-1 and SOS-2 type restrictions. Different projections are defined for the SOS-2 case, leading to forms that serve to both explain and unify alternative representations for piecewise-linear functions, as well as to promote favorable computational experience. The third contribution uses minimal cover and set covering inequalities to define the previously unknown convex hulls of special sets of binary vectors that are lexicographically lower and upper bounded by given vectors. These convex hulls are used to obtain ideal representations for base-2 expansions of bounded integer variables, and also afford a new perspective on, and extend convex hull results for, binary knapsack polytopes having weakly super-decreasing coefficients. Computational experience for base-2 expansions of integer variables exhibits a reduction in effort