406 research outputs found

    Mixed-Integer Convex Nonlinear Optimization with Gradient-Boosted Trees Embedded

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    Decision trees usefully represent sparse, high dimensional and noisy data. Having learned a function from this data, we may want to thereafter integrate the function into a larger decision-making problem, e.g., for picking the best chemical process catalyst. We study a large-scale, industrially-relevant mixed-integer nonlinear nonconvex optimization problem involving both gradient-boosted trees and penalty functions mitigating risk. This mixed-integer optimization problem with convex penalty terms broadly applies to optimizing pre-trained regression tree models. Decision makers may wish to optimize discrete models to repurpose legacy predictive models, or they may wish to optimize a discrete model that particularly well-represents a data set. We develop several heuristic methods to find feasible solutions, and an exact, branch-and-bound algorithm leveraging structural properties of the gradient-boosted trees and penalty functions. We computationally test our methods on concrete mixture design instance and a chemical catalysis industrial instance

    2D Phase Unwrapping via Graph Cuts

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    Phase imaging technologies such as interferometric synthetic aperture radar (InSAR), magnetic resonance imaging (MRI), or optical interferometry, are nowadays widespread and with an increasing usage. The so-called phase unwrapping, which consists in the in- ference of the absolute phase from the modulo-2π phase, is a critical step in many of their processing chains, yet still one of its most challenging problems. We introduce an en- ergy minimization based approach to 2D phase unwrapping. In this approach we address the problem by adopting a Bayesian point of view and a Markov random field (MRF) to model the phase. The maximum a posteriori estimation of the absolute phase gives rise to an integer optimization problem, for which we introduce a family of efficient algo- rithms based on existing graph cuts techniques. We term our approach and algorithms PUMA, for Phase Unwrapping MAx flow. As long as the prior potential of the MRF is convex, PUMA guarantees an exact global solution. In particular it solves exactly all the minimum L p norm (p ≥ 1) phase unwrapping problems, unifying in that sense, a set of existing independent algorithms. For non convex potentials we introduce a version of PUMA that, while yielding only approximate solutions, gives very useful phase unwrap- ping results. The main characteristic of the introduced solutions is the ability to blindly preserve discontinuities. Extending the previous versions of PUMA, we tackle denoising by exploiting a multi-precision idea, which allows us to use the same rationale both for phase unwrapping and denoising. Finally, the last presented version of PUMA uses a frequency diversity concept to unwrap phase images having large phase rates. A representative set of experiences illustrates the performance of PUMA

    Efficient Semidefinite Branch-and-Cut for MAP-MRF Inference

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    We propose a Branch-and-Cut (B&C) method for solving general MAP-MRF inference problems. The core of our method is a very efficient bounding procedure, which combines scalable semidefinite programming (SDP) and a cutting-plane method for seeking violated constraints. In order to further speed up the computation, several strategies have been exploited, including model reduction, warm start and removal of inactive constraints. We analyze the performance of the proposed method under different settings, and demonstrate that our method either outperforms or performs on par with state-of-the-art approaches. Especially when the connectivities are dense or when the relative magnitudes of the unary costs are low, we achieve the best reported results. Experiments show that the proposed algorithm achieves better approximation than the state-of-the-art methods within a variety of time budgets on challenging non-submodular MAP-MRF inference problems.Comment: 21 page

    Grey-box Modelling of a Household Refrigeration Unit Using Time Series Data in Application to Demand Side Management

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    This paper describes the application of stochastic grey-box modeling to identify electrical power consumption-to-temperature models of a domestic freezer using experimental measurements. The models are formulated using stochastic differential equations (SDEs), estimated by maximum likelihood estimation (MLE), validated through the model residuals analysis and cross-validated to detect model over-fitting. A nonlinear model based on the reversed Carnot cycle is also presented and included in the modeling performance analysis. As an application of the models, we apply model predictive control (MPC) to shift the electricity consumption of a freezer in demand response experiments, thereby addressing the model selection problem also from the application point of view and showing in an experimental context the ability of MPC to exploit the freezer as a demand side resource (DSR).Comment: Submitted to Sustainable Energy Grids and Networks (SEGAN). Accepted for publicatio

    From combinatorial optimization to real algebraic geometry and back

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    In this paper, we explain the relations between combinatorial optimization and real algebraic geometry with a special focus to the quadratic assignment problem. We demonstrate how to write a quadratic optimization problem over discrete feasible set as a linear optimization problem over the cone of completely positive matrices. The latter formulation enables a hierarchy of approximations which rely on results from polynomial optimization, a sub-eld of real algebraic geometry

    Local Linear Convergence of Approximate Projections onto Regularized Sets

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    The numerical properties of algorithms for finding the intersection of sets depend to some extent on the regularity of the sets, but even more importantly on the regularity of the intersection. The alternating projection algorithm of von Neumann has been shown to converge locally at a linear rate dependent on the regularity modulus of the intersection. In many applications, however, the sets in question come from inexact measurements that are matched to idealized models. It is unlikely that any such problems in applications will enjoy metrically regular intersection, let alone set intersection. We explore a regularization strategy that generates an intersection with the desired regularity properties. The regularization, however, can lead to a significant increase in computational complexity. In a further refinement, we investigate and prove linear convergence of an approximate alternating projection algorithm. The analysis provides a regularization strategy that fits naturally with many ill-posed inverse problems, and a mathematically sound stopping criterion for extrapolated, approximate algorithms. The theory is demonstrated on the phase retrieval problem with experimental data. The conventional early termination applied in practice to unregularized, consistent problems in diffraction imaging can be justified fully in the framework of this analysis providing, for the first time, proof of convergence of alternating approximate projections for finite dimensional, consistent phase retrieval problems.Comment: 23 pages, 5 figure
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