Optimization and Control (math.OC)
Thu, 13 Jul 2023
1.Efficient KKT reformulations for bilevel linear programming
Abstract: It is a well-known result that bilevel linear programming is NP-hard. In many publications, reformulations as mixed-integer linear programs are proposed, which suggests that the decision version of the problem belongs to NP. However, to the best of our knowledge, a rigorous proof of membership in NP has never been published, so we close this gap by reporting a simple but not entirely trivial proof. A related question is whether a large enough "big M" for the classical KKT-based reformulation can be computed efficiently, which we answer in the affirmative. In particular, our big M has polynomial encoding length in the original problem data.
2.Weighted tardiness minimization for unrelated machines with sequence-dependent and resource-constrained setups
Authors:Ioannis Avgerinos, Ioannis Mourtos, Stavros Vatikiotis, Georgios Zois
Abstract: Motivated by the need of quick job (re-)scheduling, we examine an elaborate scheduling environment under the objective of total weighted tardiness minimization. The examined problem variant moves well beyond existing literature, as it considers unrelated machines, sequence-dependent and machine-dependent setup times and a renewable resource constraint on the number of simultaneous setups. For this variant, we provide a relaxed MILP to calculate lower bounds, thus estimating a worst-case optimality gap. As a fast exact approach appears not plausible for instances of practical importance, we extend known (meta-)heuristics to deal with the problem at hand, coupling them with a Constraint Programming (CP) component - vital to guarantee the non-violation of the problem's constraints - which optimally allocates resources with respect to tardiness minimization. The validity and versatility of employing different (meta-)heuristics exploiting a relaxed MILP as a quality measure is revealed by our extensive experimental study, which shows that the methods deployed have complementary strengths depending on the instance parameters. Since the problem description has been obtained from a textile manufacturer where jobs of diverse size arrive continuously under tight deadlines, we also discuss the practical impact of our approach in terms of both tardiness decrease and broader managerial insights.
3.Hypergraph-Based Fast Distributed AC Power Flow Optimization
Authors:Xinliang Dai, Yingzhao Lian, Yuning Jiang, Colin N. Jones, Veit Hagenmeyer
Abstract: This paper presents a novel distributed approach for solving AC power flow (PF) problems. The optimization problem is reformulated into a distributed form using a communication structure corresponding to a hypergraph, by which complex relationships between subgrids can be expressed as hyperedges. Then, a hypergraph-based distributed sequential quadratic programming (HDQ) approach is proposed to handle the reformulated problems, and the hypergraph-based distributed sequential quadratic programming (HDSQP) is used as the inner algorithm to solve the corresponding QP subproblems, which are respectively condensed using Schur complements with respect to coupling variables defined by hyperedges. Furthermore, we rigorously establish the convergence guarantee of the proposed algorithm with a locally quadratic rate and the one-step convergence of the inner algorithm when using the Levenberg-Marquardt regularization. Our analysis also demonstrates that the computational complexity of the proposed algorithm is much lower than the state-of-art distributed algorithm. We implement the proposed algorithm in an open-source toolbox, i.e., rapidPF, and conduct numerical tests that validate the proof and demonstrate the great potential of the proposed distributed algorithm in terms of communication effort and computational speed.
4.Linear programming sensitivity measured by the optimal value worst-case analysis
Abstract: This paper introduces a concept of a derivative of the optimal value function in linear programming (LP). Basically, it is the the worst case optimal value of an interval LP problem when the nominal data the data are inflated to intervals according to given perturbation patterns. By definition, the derivative expresses how the optimal value can worsen when the data are subject to variation. In addition, it also gives a certain sensitivity measure or condition number of an LP problem. If the LP problem is nondegenerate, the derivatives are easy to calculate from the computed primal and dual optimal solutions. For degenerate problems, the computation is more difficult. We propose an upper bound and some kind of characterization, but there are many open problems remaining. We carried out numerical experiments with specific LP problems and with real LP data from Netlib repository. They show that the derivatives give a suitable sensitivity measure of LP problems. It remains an open problem how to efficiently and rigorously handle degenerate problems.
5.Sharpness and well-conditioning of nonsmooth convex formulations in statistical signal recovery
Authors:Lijun Ding, Alex L. Wang
Abstract: We study a sample complexity vs. conditioning tradeoff in modern signal recovery problems where convex optimization problems are built from sampled observations. We begin by introducing a set of condition numbers related to sharpness in $\ell_p$ or Schatten-p norms ($p\in[1,2]$) based on nonsmooth reformulations of a class of convex optimization problems, including sparse recovery, low-rank matrix sensing, covariance estimation, and (abstract) phase retrieval. In each of the recovery tasks, we show that the condition numbers become dimension independent constants once the sample size exceeds some constant multiple of the recovery threshold. Structurally, this result ensures that the inaccuracy in the recovered signal due to both observation noise and optimization error is well-controlled. Algorithmically, such a result ensures that a new first-order method for solving the class of sharp convex functions in a given $\ell_p$ or Schatten-p norm, when applied to the nonsmooth formulations, achieves nearly-dimension-independent linear convergence.