A local branching heuristic for MINLPs

Local branching is an improvement heuristic, developed within the context of branch-and-bound algorithms for MILPs, which has proved to be very effective in practice. For the binary case, it is based on defining a neighbourhood of the current incumbent solution by allowing only a few binary variables to flip their value, through the addition of a local branching constraint. The neighbourhood is then explored with a branch-and-bound solver. We propose a local branching scheme for (nonconvex) MINLPs which is based on iteratively solving MILPs and NLPs. Preliminary computational experiments show that this approach is able to improve the incumbent solution on the majority of the test instances, requiring only a short CPU time. Moreover, we provide algorithmic ideas for a primal heuristic whose purpose is to find a first feasible solution, based on the same scheme

A Two-Level Approach to Large Mixed-Integer Programs with Application to Cogeneration in Energy-Efficient Buildings

We study a two-stage mixed-integer linear program (MILP) with more than 1 million binary variables in the second stage. We develop a two-level approach by constructing a semi-coarse model (coarsened with respect to variables) and a coarse model (coarsened with respect to both variables and constraints). We coarsen binary variables by selecting a small number of pre-specified daily on/off profiles. We aggregate constraints by partitioning them into groups and summing over each group. With an appropriate choice of coarsened profiles, the semi-coarse model is guaranteed to find a feasible solution of the original problem and hence provides an upper bound on the optimal solution. We show that solving a sequence of coarse models converges to the same upper bound with proven finite steps. This is achieved by adding violated constraints to coarse models until all constraints in the semi-coarse model are satisfied. We demonstrate the effectiveness of our approach in cogeneration for buildings. The coarsened models allow us to obtain good approximate solutions at a fraction of the time required by solving the original problem. Extensive numerical experiments show that the two-level approach scales to large problems that are beyond the capacity of state-of-the-art commercial MILP solvers

A Primal Decomposition Method with Suboptimality Bounds for Distributed Mixed-Integer Linear Programming

In this paper we deal with a network of agents seeking to solve in a distributed way Mixed-Integer Linear Programs (MILPs) with a coupling constraint (modeling a limited shared resource) and local constraints. MILPs are NP-hard problems and several challenges arise in a distributed framework, so that looking for suboptimal solutions is of interest. To achieve this goal, the presence of a linear coupling calls for tailored decomposition approaches. We propose a fully distributed algorithm based on a primal decomposition approach and a suitable tightening of the coupling constraints. Agents repeatedly update local allocation vectors, which converge to an optimal resource allocation of an approximate version of the original problem. Based on such allocation vectors, agents are able to (locally) compute a mixed-integer solution, which is guaranteed to be feasible after a sufficiently large time. Asymptotic and finite-time suboptimality bounds are established for the computed solution. Numerical simulations highlight the efficacy of the proposed methodology.Comment: 57th IEEE Conference on Decision and Contro

Graphical Models for Optimal Power Flow

Optimal power flow (OPF) is the central optimization problem in electric power grids. Although solved routinely in the course of power grid operations, it is known to be strongly NP-hard in general, and weakly NP-hard over tree networks. In this paper, we formulate the optimal power flow problem over tree networks as an inference problem over a tree-structured graphical model where the nodal variables are low-dimensional vectors. We adapt the standard dynamic programming algorithm for inference over a tree-structured graphical model to the OPF problem. Combining this with an interval discretization of the nodal variables, we develop an approximation algorithm for the OPF problem. Further, we use techniques from constraint programming (CP) to perform interval computations and adaptive bound propagation to obtain practically efficient algorithms. Compared to previous algorithms that solve OPF with optimality guarantees using convex relaxations, our approach is able to work for arbitrary distribution networks and handle mixed-integer optimization problems. Further, it can be implemented in a distributed message-passing fashion that is scalable and is suitable for "smart grid" applications like control of distributed energy resources. We evaluate our technique numerically on several benchmark networks and show that practical OPF problems can be solved effectively using this approach.Comment: To appear in Proceedings of the 22nd International Conference on Principles and Practice of Constraint Programming (CP 2016