Linear solvers for power grid optimization problems: a review of GPU-accelerated linear solvers

The linear equations that arise in interior methods for constrained optimization are sparse symmetric indefinite and become extremely ill-conditioned as the interior method converges. These linear systems present a challenge for existing solver frameworks based on sparse LU or LDL^T decompositions. We benchmark five well known direct linear solver packages using matrices extracted from power grid optimization problems. The achieved solution accuracy varies greatly among the packages. None of the tested packages delivers significant GPU acceleration for our test cases

Power System State Estimation and Contingency Constrained Optimal Power Flow - A Numerically Robust Implementation

The research conducted in this dissertation is divided into two main parts. The first part provides further improvements in power system state estimation and the second part implements Contingency Constrained Optimal Power Flow (CCOPF) in a stochastic multiple contingency framework. As a real-time application in modern power systems, the existing Newton-QR state estimation algorithms are too slow and too fragile numerically. This dissertation presents a new and more robust method that is based on trust region techniques. A faster method was found among the class of Krylov subspace iterative methods, a robust implementation of the conjugate gradient method, called the LSQR method. Both algorithms have been tested against the widely used Newton-QR state estimator on the standard IEEE test networks. The trust region method-based state estimator was found to be very reliable under severe conditions (bad data, topological and parameter errors). This enhanced reliability justifies the additional time and computational effort required for its execution. The numerical simulations indicate that the iterative Newton-LSQR method is competitive in robustness with classical direct Newton-QR. The gain in computational efficiency has not come at the cost of solution reliability. The second part of the dissertation combines Sequential Quadratic Programming (SQP)-based CCOPF with Monte Carlo importance sampling to estimate the operating cost of multiple contingencies. We also developed an LP-based formulation for the CCOPF that can efficiently calculate Locational Marginal Prices (LMPs) under multiple contingencies. Based on Monte Carlo importance sampling idea, the proposed algorithm can stochastically assess the impact of multiple contingencies on LMP-congestion prices

Computing the singular value decomposition with high relative accuracy

AbstractWe analyze when it is possible to compute the singular values and singular vectors of a matrix with high relative accuracy. This means that each computed singular value is guaranteed to have some correct digits, even if the singular values have widely varying magnitudes. This is in contrast to the absolute accuracy provided by conventional backward stable algorithms, which in general only guarantee correct digits in the singular values with large enough magnitudes. It is of interest to compute the tiniest singular values with several correct digits, because in some cases, such as finite element problems and quantum mechanics, it is the smallest singular values that have physical meaning, and should be determined accurately by the data. Many recent papers have identified special classes of matrices where high relative accuracy is possible, since it is not possible in general. The perturbation theory and algorithms for these matrix classes have been quite different, motivating us to seek a common perturbation theory and common algorithm. We provide these in this paper, and show that high relative accuracy is possible in many new cases as well. The briefest way to describe our results is that we can compute the SVD of G to high relative accuracy provided we can accurately factor G=XDYT where D is diagonal and X and Y are any well-conditioned matrices; furthermore, the LDU factorization frequently does the job. We provide many examples of matrix classes permitting such an LDU decomposition

Refresher course in maths and a project on numerical modeling done in twos

These lecture notes accompany a refresher course in applied mathematics with a focus on numerical concepts (Part I), numerical linear algebra (Part II), numerical analysis, Fourier series and Fourier transforms (Part III), and differential equations (Part IV). Several numerical projects for group work are provided in Part V. In these projects, the tasks are threefold: mathematical modeling, algorithmic design, and implementation. Therein, it is important to draw interpretations of the obtained results and provide measures (Parts I-IV) how to build confidence into numerical findings such intuition, error analysis, convergence analysis, and comparison to manufactured solutions. Both authors have been jointly teaching over several years this class and bring in a unique mixture of their respective teaching and research fields

Quasi second-order methods for PDE-constrained forward and inverse problems

La conception assistée par ordinateur (CAO), les effets visuels, la robotique et de nombreux autres domaines tels que la biologie computationnelle, le génie aérospatial, etc. reposent sur la résolution de problèmes mathématiques. Dans la plupart des cas, des méthodes de calcul sont utilisées pour résoudre ces problèmes. Le choix et la construction de la méthode de calcul ont un impact important sur les résultats et l'efficacité du calcul. La structure du problème peut être utilisée pour créer des méthodes, qui sont plus rapides et produisent des résultats qualitativement meilleurs que les méthodes qui n'utilisent pas la structure. Cette thèse présente trois articles avec trois nouvelles méthodes de calcul s'attaquant à des problèmes de simulation et d'optimisation contraints par des équations aux dérivées partielles (EDP). Dans le premier article, nous abordons le problème de la dissipation d'énergie des solveurs fluides courants dans les effets visuels. Les solveurs de fluides sont omniprésents dans la création d'effets dans les courts et longs métrages d'animation. Nous présentons un schéma d'intégration temporelle pour la dynamique des fluides incompressibles qui préserve mieux l'énergie comparé aux nombreuses méthodes précédentes. La méthode présentée présente une faible surcharge et peut être intégrée à un large éventail de méthodes existantes. L'amélioration de la conservation de l'énergie permet la création d'animations nettement plus dynamiques. Nous abordons ensuite la conception computationelle dont le but est d'exploiter l'outils computationnel dans le but d'améliorer le processus de conception. Plus précisément, nous examinons l'analyse de sensibilité, qui calcule les sensibilités du résultat de la simulation par rapport aux paramètres de conception afin d'optimiser automatiquement la conception. Dans ce contexte, nous présentons une méthode efficace de calcul de la direction de recherche de Gauss-Newton, en tirant parti des solveurs linéaires directs épars modernes. Notre méthode réduit considérablement le coût de calcul du processus d'optimisation pour une certaine classe de problèmes de conception inverse. Enfin, nous examinons l'optimisation de la topologie à l'aide de techniques d'apprentissage automatique. Nous posons deux questions : Pouvons-nous faire de l'optimisation topologique sans maillage et pouvons-nous apprendre un espace de solutions d'optimisation topologique. Nous appliquons des représentations neuronales implicites et obtenons des résultats structurellement sensibles pour l'optimisation topologique sans maillage en guidant le réseau neuronal pendant le processus d'optimisation et en adaptant les méthodes d'optimisation topologique par éléments finis. Notre méthode produit une représentation continue du champ de densité. De plus, nous présentons des espaces de solution appris en utilisant la représentation neuronale implicite.Computer-aided design (CAD), visual effects, robotics and many other fields such as computational biology, aerospace engineering etc. rely on the solution of mathematical problems. In most cases, computational methods are used to solve these problems. The choice and construction of the computational method has large impact on the results and the computational efficiency. The structure of the problem can be used to create methods, that are faster and produce qualitatively better results than methods that do not use the structure. This thesis presents three articles with three new computational methods tackling partial differential equation (PDE) constrained simulation and optimization problems. In the first article, we tackle the problem of energy dissipation of common fluid solvers in visual effects. Fluid solvers are ubiquitously used to create effects in animated shorts and feature films. We present a time integration scheme for incompressible fluid dynamics which preserves energy better than many previous methods. The presented method has low overhead and can be integrated into a wide range of existing methods. The improved energy conservation leads to noticeably more dynamic animations. We then move on to computational design whose goal is to harnesses computational techniques for the design process. Specifically, we look at sensitivity analysis, which computes the sensitivities of the simulation result with respect to the design parameters to automatically optimize the design. In this context, we present an efficient way to compute the Gauss-Newton search direction, leveraging modern sparse direct linear solvers. Our method reduces the computational cost of the optimization process greatly for a certain class of inverse design problems. Finally, we look at topology optimization using machine learning techniques. We ask two questions: Can we do mesh-free topology optimization and can we learn a space of topology optimization solutions. We apply implicit neural representations and obtain structurally sensible results for mesh-free topology optimization by guiding the neural network during optimization process and adapting methods from finite element based topology optimization. Our method produces a continuous representation of the density field. Additionally, we present learned solution spaces using the implicit neural representation